Looking for a song, I only remember two sentences that seem to be "it's cold, you're gone."

Because the lyrics you provided just said that they seemed to be,

So I can't tell you which one it is,

As far as the songs I've heard are concerned, could it be Wang Wanzhi's "I'm really hurt"?

Jacky Cheung sang, too, which was quite sad. Sounds good.

But as far as lyrics are concerned, it's probably not what you want = =