Overheating in cold weather

Car is a 2000 Olds Intrigue 65000miles
It is overheating when it gets cold and depends on the speed I am traveling at and how cold it is. For example at about 10-20degrees F and 40mph it overheats and when it's about 20-40 degrees F and 60mph it overheats. I usually have the heat on and turning off the heat completely brings the temperature gauge back down. It goes right back up when I turn the heat back on. It doesn't overheat when the car is idling or parked with the heat on so it's hard for me to troubleshoot. I know it's overheating because I start to hear a knocking sound coming from the engine. The coolant is fine and I have had it flushed already.