Ever since I was little when my knees get a chill they start to hurt very bad why is that?

Peripheral neuro. There are different pains, from mild muscle strains due to tightened muscles, inflammation from viral illnesses, and mild bursitis. However, for many there can be a mild irritation effect from cold air that activates local nerves and causes mild pain. More severe pain can happen when small blood vessels constrict with cold, causing muscle pain.
Knee pain with cold. When a cold front comes through, changes in barometric pressure may cause pressure in closed systems like the bursae in your knees. Barometric pressure changes may also cause women to go into labor, and trigger asthmatic cough episodes.