A diplomatic way of saying "f*** you" when someone is ignoring you, being rude to you, giving you the cold shoulder,
boring you with superficial talk, not showing they care, being
cold and insensitive, etc.
The statement doesn't have
anything to do with the weather but everything to do with how warm and caring someone is towards you, how interested is a person in your conversation.
He/She ignored me the whole time. I felt
cold, so I left.
He/She doesn't care. I felt
cold, so I left.
He/She gave me the cold shoulder. I felt
cold, so I left.
He/She gave me a sly look. I felt cold, so I left.