This question is quite easy to answer; It’s the air inside!
You might have thrown snow balls as a child. Thinking back to those days, when you collect some snow from the ground it’s nice and fluffy and soft. This is because snow is made up of lots and lots of tiny ice crystals that have a lot of space for air to get trapped inside.
Once you start rolling and compressing your snow ball, it will get progressively harder. Keep pressing long and hard enough and the snow ball will have turned into an ice ball (the ones that the nasty big kids throw at you). This is because you have pressed out all the air that was trapped inside the snow crystals, and the ice crystals have been compacted together into a block of ice!
Find out more at SnowCrystals.com