A cold wallet is basically a wallet that isn't connected to the internet so nobody else can have access to your wallet.
Currently ledger and trezor don't support steem. But it should be possible since someone already modified it's trezor device to support steem: https://steemit.com/steem/@svk/trezor-hackathon-putting-steem-on-the-trezor I think there is just not much demand to support steem since most people stake it for steem power.
What you can do is make a steem paperwallet and store it offline this way. Read this tutorial with the instructions on how to do it: https://steemit.com/steem/@xeroc/paperwallet-easily-secure-your-account-with-steem-paperwallet-generator
After using this offline paper wallet generator you can print out the keys and store them in a safety deposit box.
Or another option is making a secondary steemit account. Then transfer your funds to your secondary account and delegate the funds to your primary account. This way you can still use your funds but when someone hacks your primary account they can't steal it.