Like pluto316 mentioned, if the ECU thinks that the air that is being pulled into the engine is -30 degrees, it's going to try to balance your air/fuel ratio by dumping excess fuel in to keep up with it.
This is bad for several reasons.
1. You will be running pig rich constantly. This will greatly reduce the lifespan of your O2 sensors and catalytic converter. This will also reduce gas mileage significantly. And don't expect Mazda to cover that under warranty when they find out what you did.
2. This will add extra wear on your fuel pump, injectors, and so on.
3. I'm not certain about the Mazda5, but many new ECU's are so-called "learning" systems. The only way to combat the ECU from simply reverting to a stock tune is to either disconnect your batter every so often, or pulling the fuse to the ECU on occasion.
4. If you dump too much fuel, without actually having enough air to match it, you can lose power. If you don't, the ECU will be forced to adjust the timing, and you would likely (as mentioned) need to run premium fuel.
So, for what it's worth...I think it's a bad idea. There really is no such thing as cheap horsepower.
And as for it being just like a cold air intake, this is really nothing like a cold air intake. But it's a moot point really, as many fancy cold air intakes actually result in little to no true HP gains.