Sounds like he's learned a new phrase. My 3 yr old does stuff like this - for instance when he says "I'm busy, mom, I'm busy" it means he wants to play on the computer. He picked this up from me, because I work from home on my computer and often say I'm busy when I'm working on it.
I also know that when my 7 yr old says "mom, I'm hot", it means he wants a popsicle. Probably because I started offering them to him the first couple times he said he was hot.
Chances are when your DS says he's cold, it means he wants something - e.g. his blanket. Perhaps he truly is cold, but more likely he just wants his comfort object.