Originally Posted by Kindfiend

Generally, things get loose when it's cold. Metal and plastic shrink when cold, so any spaces that develop might give you a rattle. Check the area you hear the noise from and knock around it. Maybe you'll be able to pinpoint where its coming from.

edit: I noticed you said it's from the door panel. Check around the door and make sure everything is tight. If it is, take the panel off and check the screws that hold the speaker down.

When I first bought my 96 200SX, it had a very annoying rattle from one of the back speakers... turns out the paper cone had ripped.