Does cold make air particles go close together?

Short Answer:

Particles (atoms and molecules) at high temperature will transfer thermal energy (heat) to near by particles at lower temperature through collisions (bumping into neighboring particles).

Explanation:

We can say particles in one region are hot or cold depending on their temperature and that means they have more kinetic energy (hot) or less kinetic energy (cold) on the average. When we speak of thermal energy, we mean the kinetic energy that particles have as a consequence of their temperature. Particles are constantly moving and colliding with neighboring particles, so it is natural that those with greater kinetic energy will transfer that energy to those with less kinetic energy. That is why a region of a material that is at a higher temperature will cool and the neighboring region at lower temperature will warm. When that happens, we say that heat energy has gone from the warm region to the cool region. In everyday language, heat and heat energy and thermal energy are used to mean the same hing, energy of matter associated with temperature. If you study science, the terminology gets more specific and the term "heat energy" is not so much used.

Comment: Energy can not be made. Energy can be transfered from one location to another and energy can be converted to thermal energy from other forms and back again. We say "energy is conserved" to mean that it changes form but is not created or destroyed.