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It's just the science of phase change. Outdoor air—yes, even cold.dry, outside air—has some water vapor in it. Air with water vapor in it has a dew point the temperature at which the water vapor changes phase and becomes a liquid. When that outdoor air finds a surface that's at a temperature below its dew point, the water vapor condense out of it. If that surface and the surrounding air are below the freezing point as well, the condensed water freezes.
All that depends on the outdoor air and the temperature of the heat pump condenser. The refrigerant in a heat pump typically runs 10 to 20 degrees Fahrenheit colder than the outdoor air. If that temperatures happens to be below the dew point of the air and below the freezing point, you get frost. The typical conditions for this to occur are when the outdoor air temperature is below 40° F and the relative humidity is about 70% or higher. As the temperature drops below 20° F, the formation of frost diminishes.
