The heat pump system looses efficiency as the temperatures gets colder outside, typically a heat pump will cross the threshold of efficiency at around 40 to 45 Deg F. and at that point the efficient drops so your air temperature from your supply registers will get cold from that point on. The back up heat source can be set up in many different ways and the temperature that the outdoor unit switches off and allows just the back up heat source to work alone can also be changed. Call a qualified technician to make the adjustments to your system based on your comfort levels, having the back up heat start and run earlier will usually resolve the cold air issue as well as decrease the amount of time the system has to run.