Phffft! I brewed on Wednesday and it was -4° F (-20° C). :P I did exactly what you're describing, running my burner in my garage with the door OPEN. Those fumes need to be able to escape.
That said, there are several issues to be aware of when brewing when it's that cold. Keep much of your equipment indoors until you need it. Specifically, if you use an electronic scale to weigh your hops, the battery will freeze and the scale will not work, so keep it warm until you need it. Your hoses will be much more stiff and rigid as they cool down, so keep them inside until it's time to set up your chiller. If you use a garden hose, bring it inside the night before so that any ice inside of it will have time to melt by brew day. I even keep my pumps and chiller inside, in case there is any water/ice inside of them that will prevent me from getting a flow started at a crucial point in brewing.
Valves may clog with ice. For example, I have a little bucket with a ball valve on it that I use to prime my lines before starting my pump. When I brewed on Wednesday, the valve was clogged with ice. I had to poke it with the temperature probe of my turkey fryer's thermometer to clear it. A little water got spilled, and buckets froze to the floor. Your hands will get cold, so keep them dry and wear gloves for as much of the process as possible.
On the bright side, get ready for the fastest post-boil wort chilling of your life.