A Cold Wallet is the term used to refer to any cryptocurrency / digital asset wallet that is not connected to the internet and thus is not susceptible to the same hacking and safety issues that connected wallets have. This style of storage is known as cold storage.
Cold wallets are typically airgapped hardware devices such as Ledger, Trezor, Keep Key. However, using a paper wallet also results in offline crypto storage, thus a paper wallet is a cold wallet.