At the outside wall of my house I can see two white PVC round tubes/pipes, I understand one is for sucking air from outside, and one is for furnace blowing warm air to outside - correct? We are worried that the one that blows air out, will also bring in cold air in winter?
These vents are for a high efficiency furnace. One brings in fresh air for combustion, the other exhausts air after combustion. It's separate from the air you breath in your home, hence the high efficiency part. The biggest concerns with these are venting exhaust too close to a window, and having the exhaust sucked back into the intake, but this shouldn't be a problem with a properly installed system. There's no need to modify or cover these vents, doing so can damage your furnace.
These pipes are for combustion air. The out pipe expels exhaust from the furnace's combustion, the one that sucks air in, gives the furnace oxygen to fuel combustion. You definitely don't want exhaust gas in your house. It might kill you. The "in" pipe is for economy, so that it doesn't have to get air from the house, and for making it easier for the exhaust to "draft" out of the "out" pipe.