So sorry to hear that this problem is bothering you, but you should know that you are describing a normal response rather than a concerning symptom. Your ear drums are extremely well innervated, meaning that multiple nerves that supply multiple other parts of your body also supply the tympanic membrane (the ear drum). Additionally, the membrane that makes up the ear drum is extremely thin, just about as thick as a sheet of construction paper. When you have very sensitive nerves running through such a thin layer, they are more subject to the environment than are the nerves to the rest of your body. Just like nerves to the rest of your body, the nerves of your ear drum are designed to protect that part of the body. By causing the pain, nerves induce you to take steps to change something, whether it be rub your ears, cover them, go inside, etc, and so the nerves have done their job of protecting the ear drum from what was perceived to be a threat to the thin membrane and the important job that your ears do. By wearing ear covers or running when it is warmer, you will avoid this problem. If it continues, please see your doctor
to confirm that there is nothing more serious occurring.