I felt cold, so I left.

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.

That's so cold

When you do something that gives people a cold feeling in their bodies.

Dali takes a mean bite out of a sandwich
Aidan: "That's so cold!"