Reasons for a room to be colder:
Air leakage at windows.
The vent is at the end of the duct run or undersized.
Damage to the ducting or an obstruction in the ductwork.
Changing your heater settings will not fix the problem. Check your windows to see if you feel any draft around the edges of each pane. Covering these edges with masking tape can fix the problem temporarily. Single-pane or single-glazed windows allow heat to escape outward more easily making the room cooler. Closing shades or curtains will mitigate heat transference. If this room is at the end of a ducting run there may not be enough pressure to force warm air into the room. Partially closing a vent or vents closer to the air handler may increase pressure to the cold room.
If there is damage to the duct, warm air may be leaking and reducing pressure to your bedroom. Most ducts in homes are made from duct board http://www.jm.com/content/dam/jm/global/...
or flexible ducting http://i01.i.aliimg.com/photo/v0/1655956...
Both are subject to damage from rodents, but the flexible duct is also subject to kinking that can cut air flow.
If you can't fix the problem by taping window edges or closing drapes, or by adjusting other vents, then you should have a service person look for a leak or kink in the duct work.