At the Orthodox Epiphany, Orthodox believers recall the day when Jesus Christ came to the river Jordan and was christened in the river. Shortly, water becomes blessed. Practically, it happens in January and even if these record temperatures below -30 C are not taken into consideration, it's still January, the middle of winter. There've always been some people, recreational ice swimmers, who dip into ice water without any connection to any religion, some do it for fun, some believe it improves health. They're called "моржи" (walruses). The mass media usually doesn't pay much attention to their activities until it coincides with their reportages' goals. As well as publicity-seeking politicians. In this case, the record frost was the top media event, the second event was Orthodox Epiphany, and it was a great PR idea for politiciants to join "walruses" and religion at once.
I haven't ever been acquainted with any "walruses" in my life; also, none of my friends, relatives, colleagues swimmed in rivers&ponds in these days. The only thing that everyone wants to do at such temperatures is to stay at home. If your imagination shows you the picture of Moscow's snowy park with a frozen pond inside and people swimming there at the temperatures of -30 C, after work, for example; bear in mind that it's the same media myth as the covered by babushka-style shawles bears drinking vodka, playing balalaika and dancing at the Red Square. Oh, yes, forgot about the bliny and valenki. :)