Actually, it is theorized they may have. The Sami people of Scandinavia were known to ski for a number of different reasons including hunting and warfare as recently as 5,000 years ago, and skiing may date back even further.
The problem here is that the term "ice age" is a bit generic. There have been five major ice ages identified in Earth's past:
The last commonly accepted glacial period of the current ice age ended about 10,000 years ago, but the current interglacial retreat continues.
So, technically, any activity involving Homo sapiens sapiens that has occurred in the past 200,000 years of the past 2.58 million years has actually taken place during an ice age.
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