We compare mid-infrared (IR) 3.6 and 4.5{mu}m Warm Spitzer observations for Cepheids in the Milky Way and the Large and Small Magellanic Clouds. Using models, we explore in detail the effect of the CO rotation-vibration band-head at 4.6{mu}m on the mid-IR photometry. We confirm the temperature sensitivity of the CO band-head at 4.6{mu}m and find no evidence for an effect at 3.6{mu}m. We compare the ([3.6]-[4.5]) period-colour relations in the MW, LMC and SMC. The slopes of the period-colour relations for the three galaxies are in good agreement, but there is a trend in zero-point with metallicity, with the lowest metallicity Cepheids having redder mid-IR colours. Finally, we present a colour-[Fe/H] relation based on published spectroscopic metallicities. This empirical relation, calibrated to the metallicity system of Genovali et al., demonstrates that the ([3.6]-[4.5]) colour provides a reliable metallicity indicator for Cepheids, with a precision comparable to current spectroscopic determinations.