This usually refers to (a)a lack of sex but can also be applied to any recurring disappointment, such as (b)a failure to get drugs, (c) a good artist consistently being lame, (d) gambling losses, etc.
(b) "I think we need a new dealer because our guy has been on a cold streak. He hasn't had anything to sell in weeks."
(c) "I still think Ludacris is a good rapper; he has just been on a cold streak with his last few albums."
(d) "My poker cold streak has gone on for ten games. I'm down $500."