Yes, it’s rather cold in Scandinavia in February. But probably not as cold as you may think!
With the right clothes you will be fine. Winter also brings a different light and different views of cities and landscapes.

Further, you will see and experience the snow – instead of the wet and uncomfortable rain!

Here is a good article from Smithsonian Institute’s website (a U.S. culture and science institute), describing how it is to visit Norway in February:
http://www.smithsonianmag.com/travel/who-goes-to-norway-in-february-20509715/

Thanks to Dini A Lubis, who found this article!