Sparrow is a bird. All birds are warm-blooded so during colder weather, they have to spend more energy to maintain their body temperature. They have to consume more food, grow thicker feather or migrate to warmer region to survive the cold weather.
Sparrows do not migrate during winters. They adapt by building their nests near human habitats. Because human habitats usually have heat, the leaked heat keeps the sparrows' nests warm during cold weather.