The return air vent where you feel the cold air coming from - if I read you right it is located downstairs in your living area. Is it low on the wall, high on the wall, or in the ceiling?
Does the HVAC that this return vent is connected to reside in the attic, basement, or crawl space?
One thing you can try immediately is this: remove the grill covering the return where you feel cold air entering the room. Do you see any kind of ducting material behind it, such as a sheetmetal box? Or does it just look like part of the house construction?
Psychrometrics: the very foundation of HVAC. A comfort troubleshooter's best friend.