Camping outside in cold weather sucks, doing it on top of steel grating traveling at 60mph through the wilderness will suck even more. That said, it's probably just fear, and that's okay. I got no qualms saying i got scared the one time i had the chance to catch out. Knew the train, knew the route, had the gear, there's a rideable car sitting right there, but there were some lights in the distance, maybe flashlights, and i realized i'd rather stay in the brush than risk confrontation with yard workers, the bull or worse. Does it mean i'm a pussy? Not really, i just decided that in that moment the cost benefit analysis of possibly getting busted was not worth it for me. Other people in different situations make different choices.
It's perfectly okay to be scared of doing something that is both illegal and dangerous, especially if it's the first time. I expect like most scary things, subsequent times are easier. Just think about why you feel the urge in the first place. In my experience, if you really have your heart set on something and never make a move, that can bum you out for years. But if it's just a cool thing you thought might be fun to do at some point and then never did, well, life goes on. Lots of other fun things to do, lots of other ways to travel, lots of other adventures waiting for you. End of the day it's only you who knows what matters to you.