There are a few reasons why Canada Geese sleep on the ice. michael has covered them, so this is supplementary.
In simplest terms, it's because they live in the water, and are able to tolerate frozen water for periods of time if fresh is not available. Geese on the ice may be resting or preparing to move on to un-frozen bodies of water when need be. Huddling their bodies together on the ice of a shallow pond can cause it to warm up, especially along the edges, and increase their food supply, so sleeping on the ice can merely be a step towards thawing it out.
As michael pointed out, their bodies are built to stay warm. They have insulated underbellies, and enough feathers, generally between 20,000 and 25,000, to keep their upper body temperature around 104°F (40°C). (Goose down has long been considered the warmest filling for things such as jackets and sleeping bags. After hunting nearly decimated the population of Canada geese, they've become protected, and synthetic warming materials are used instead.)
Geese also have an interesting type of circulation through their feet that transfers warm blood back up into their bodies. Since their feet can't freeze, they often sleep with them tucked underneath their bodies. This heat-transference phenomenon is one of the reasons why sometimes you'll see them standing on one foot with the other tucked up under the belly, especially when the ground is frozen. It's also helpful for living on the tundra, where the ground is frozen much of the year.
Canada geese live year round in much of the United States, including the western part, where I believe you live, so the group on that pond may winter in the area, unless of course nasty people come along and make them move! When in flight (or during migration when applicable) they stay within a certain distance, generally a "bird's-eye view" of bodies of fresh water. They'll either stop and settle in, or at least rest and eat.
For further confirmation that geese sleep on ice, I turned to research done by an organization called Wildfowl & Wetlands Trust (WWT), which is a charity dedicated to saving wetlands in several countries in the United Kingdom.
One of their projects is the annual publication of a scientific journal called Wildfowl. In a past journal entitled Geese in cold weather, authored by Jules Philippona, it was reported that some geese do indeed sleep on the ice. The article cites several scientific papers written between 1962 and 1964.
Note that although Canada Geese have become commonplace in the United Kingdom, and are among the 27 breeds observed and studied, the following quote doesn't specifically mention them.
Geese mostly have their roosts on shallow waters. They also often sleep on ice (Brotherston, 1964, Markgren, 1963, Mathiasson, 1963, Rutschke, 1962).
In 1962-3, as well as in other years, geese often used their roosts when these were frozen over. Sometimes even new roosts were formed when the water is ice-covered, as occurred on the Ijsselmeer near the new Noordoostpolder.
The Ijsselmeer near this polder is not suited for roosts, for the water is deep and ships often pass. When the water is ice-covered, however, thousands of geese sometimes sleep there. Then they feed in the pastures
and fields of the neighbouring Noordoost polder.
In the severe winter of 1962-3 geese were seen to roost in their feeding grounds:22nd February, 1963 : Etten. A flock of 480 Whitefronts and 20 Beans feed on sprouts. Afterwards when the evening twilight has come, they fly 50m. away and settle on the snow. An hour later they are
still there. It is quite certain that they will pass the night here, although some farm houses are within 150m.