Yes! Studies show animals like to be alone when they die for some reason
Is it normal for my dying dog to want to be out in the cold?
First let me say, I'm truly sorry about your dog. It's normal for a dog to go off and want to die alone. It doesn't happen with all dogs and it doesn't matter if it's hot or really cold outside. They don't want their pack which is you to see them suffer and die, so some go off to die peacefully and alone. Some prefer their owners next to them when they are dying. Each dog is different.
If your dog is dying, the best thing you can do for your dog, is to take your dog to the vet and have him or her Humanely Euthanized, so he or she doesn't have to suffer and dye in pain. Stay with your dog, comfort your dog and try to hold the tears back, so it's not as frightening of an experience for your dog being in a strange place with strange people.
Yes, my dog did the same thing. She wants to die on her own terms.