The Onion Takes on Wikipedia.

Aside from the cold, this practice might expose a child to kidnapping.

I knew this sounded familiar. The below story is about a New York woman who grew up in Denmark who was arrested for leaving her child sleep outside a restaurant while she and her husband dined inside. The charges were dropped. The mother then sued for false arrest. In return for "losing" the case, she was awarded $67,000 in damages.

http://www.nytimes.com/1997/05/14/nyregion/toddler-left-outside-restaurant-is-returned-to-her-mother.html?ref=annettesorensen

Quite apart from all the other dangers that come to mind at the idea of leaving a baby sleeping outside unattended... I live in Colorado where the air is very dry in winter and we have housewide and individual humidifers going constantly, to keep our mucous membranes from cracking and bleeding all winter long, not to mention dealing with 'The Colorado Itch'... and baby skin is thin and delicate. Not a problem in New York or Scandanavia?

Here in Eastern Europe, that is a common practice as well. The baby, however is always well-wrapped and protected from the cold air. I'm not exactly sure of the benefits of the practice but people here are nearly religious about doing it. What's odd, though, is that these same babies grow up being wrapped to within an inch of their lives whenever they go outside, no matter the temperature, are kept well away from any and all drafts (never have 2 windows open if they're going to create a cross draft in a room, for instance) and in general, seem to be much more sickly than good old American babies (where I come from) who get to run around outside with no hat and barefoot as soon as it gets remotely warm.
As far as risking having your baby kidnapped- I've seen many babies in enclosed backyards or being pushed in their stroller in the city.