The word холодный is an adjective; adjectives are used to directly modify nouns:

Many qualitive adjectives in Russian can be turned into adverbs by removing the adjectival ending and ending -о, thus the adjective холодный ‘cold’ becomes холодно ‘coldly’ (note the stress shift):

But one of the most interesting uses of adverbs in Russian is in impersonal sentences. Do you remember back in high school that you learned a rule of English grammar that says, “A complete sentence must have a subject and a verb”? That's not true in Russian. Some sentences in Russian have neither subject nor verb. More specifically, when a sentence in Russian has no nominative subject, neither expressed or implied, that sentence is called an “impersonal sentence” «безличное предложение». For instance:

That's right «Холодно» all by itself is a complete sentence in Russian. If you want to put the sentence into the past you use было (not был, была or были). If you want to put the sentence into the future, you use будет (буду, будешь, будем, будете or будут):

You can add modifiers of place to such sentences as well:

There are many other words in Russian that can be used this way, among them quite a few that have to do with weather or light or darkness:

Isn't that great? There are so many things in Russian that are so complicated that it's a joy for us foreigners to find something that's easy to say in Russian!