2002 Eddie Bauer 4x4 switches from Auto to Low Range due to cold temperature

Hi all, Something very odd happened twice to my 2002 Explorer. On two of the coldest mornings, I started up and drove off. Heard a clicking sound coming from the 4x4 switch on my dash board and then suddenly I'm in neutral. I stopped the car and waited a few minutes and the 4x4 Low appears in my panel....so it basically switched to 4x4 low by itself. When the car warmed up a bit, I was able to switch back to 4x4 auto by pressing the button. Has anyone seen this happen before? I bought a new switch on ebay, but haven't installed it yet, and I'm not sure that's the problem.