Wind itself cannot be cold.
Wind is just air movement in the atmosphere and cannot be cold.
When you feel a cold wind blowing you're feeling the cold air of the earth that is already cold.
The wind blows through that cold air which is what makes the wind feel cold out when it blows onto you.
Just like in summertime the wind blows hot air but it's not the wind that is hot but instead it's the air that is hot but the wind is just blowing the hot air which makes the wind feel hot.
Wind is nothing but air movement and the temperature of the air is what determines if the wind is cold, warm or hot.
When it's cold outside and the wind is blowing it makes the weather feel colder than it is on your skin which is known as the wind chill.