IIRC...It actually has some water in it.Last year I also experienced frostbite on combs on all but my rooster. I used vaseline everyday on all but a couple hens. I found the ones I put vaseline on had more frostbite then the ones I didn't. Someone told me that vaseline can freeze (someone more experienced can add to this if I am wrong).
It also can attract dirt and detritus...which could hold moisture.