Lots of possibilities. Some already covered. Another is temperature related.
How cold was it. A lot of drones and controllers are not built with military spec components so they are not certified to work below zero although some do.
I have 2 Mavic pros (gen 1). One of them does similar things to your own when it gets down to zero, the other is fine. Christmas eve was a perfect example.
I get the same warning as you. Then Go4 drops back to the start screen with the enter device option. Then it changes to Go Fly. By then the drone is heading for home but it can be stopped so I did, and experimented for a while in open space. It looks at though the controller is the most likely suspect but it could still be the usb interface between the controller and the phone so I will swap the android phone for the ipad mini next icy morning and see if things change. Meantime I suggest respectfully that you consider this when you choose your flight plan and RTH altitude. You don’t want to be flying underneath wires when it happens, and watch your drone try to climb to RTH altitude right through the wires. For interest sake alone, my platinum gives me the problem. My Alpine white never has.
Although we don’t know the drone, assuming it’s DJI then as well as RTH held in the drone, if it disconnects from the RC then it heads home. This behaviour can be changed in the app but home is the default
It’s at times like this you realize adrenalin is brown…
When I sat my practical test as part of my PFCO, the examiner gave me lots of great learning points, but one exercise I wont forget is we took the drone out to the legal limit of 500M, and then he asked my to turn OFF the RC. I did this and after a few seconds the drone automatically kicked in the RTH process _ we could see it flying back, then at about 100M away, he asked my to restart the RC, and I regained full connectivity and control, like you I experienced a brown moment !!