There are two issues with cold fuel:
- cold fuel is harder to vaporize (as HandyHowie mentions)
- cold fuel is likely to condense on cold engine parts, making its burning harder, less predictable
So more fuel is added than necessary - using a richer AFR - in anticipation that a decent proportion of fuel will not be burned. In other words, during cold starts the effective AFR is leaner than expected, so the mixture is enriched to compensate for that
The excess unburnt fuel is usually burnt through the addition of extra air (often called secondary air) in the exhaust, where the temperature of the combustion in the cylinder is sufficient to allow any fuel that remains in the exhaust gases to burn before reaching the catalytic converter.
To quote the Bosch Fuel Injection & Engine Management book:
Gasoline is less likely to vaporize when it is cold. Even if it is
adequately vaporized, some fuel condenses on the cold parts of the
engine before it can be burned. The engine requires extra fuel for
starting so that, in spite of vaporization and condensation problems,
the engine still receives a combustible air-fuel mixture.