That's just the way you'd express sensations in Romanian. It's like saying "It is cold to them."
You can, however, express it as an "ei sunt" sentence, using the proper adjective:
Ei sunt înfrigurați.
But be aware that other similar adjectives would change the meaning:
Ei sunt friguroși. - it's not that they're cold at the moment, but rather that they have a low tolerance to cold.
They are hungry. - Lor le este foame. / Ei sunt înfometați.
They are thirsty. - Lor le este sete. / Ei sunt însetați.
They are sleepy. - Lor le este somn. / Ei sunt somnoroși.
They are disgusted. - Lor le este scârbă. / Ei sunt scârbiți.
However, it's not always the case that you can use both forms:
They are tired. - Ei sunt obosiți.
... - Lor le este lene. (this means that they are lazy at the moment; they don't feel like doing something. But "They are lazy" could be translated as "Ei sunt leneși" which is more of a general statement, i.e. laziness is in their nature.)
In the English sentence at hand, there is an ambiguity. Is "cold" a sensation or a property? This ambiguity does not exist in Romanian. The property version of the sentence would be:
Ei sunt reci.
So, to me, this is one of the most fascinating highlights of Romanian. This starts out in Latin as the dative of the possessor: mihi est fames, or literally, "to me, there is hunger." (mihi = mi, est = este, fames = foame) The Latin and Romanian function the exact same way, unchanged over 1900 years. In English we might translate this with "I have hunger", thereby changing the dative MIHI to the subject I, the verb TO BE to the verb TO HAVE, and the subject (hunger) to the direct object (hunger). Further changing it, we would idiomatically say "I am hungry," wherein the direct object (hunger) becomes a predicate nominative adjective complement (hungry). Simple sentence in all three languages, but the many linguistic, syntactical shifts to English can be VERY confusing. While Romanian is just like Latin in this regard, other Romance languages are just similar: (Fr: j'ai faim, Sp: tengo hambre, It: ho fame, Cat: tinc gana, Pg: Eu estou com fome.) The fact that Romanian is the only Romance language to preserve a strong, distinct dative form is what enables it to preserve the Latin dative of possession. "to them, there is hunger." Simple, beautiful, and unchanged over millennia. Incidentally, the specific form "lor" is what's left of Latin "illorum" -- the masculine genitive plural of the demonstrative pronoun/adjective "ille illa illud". (Latin genitive and dative forms got conflated in Romanian, but still maintain separate uses.)
As a conjectural sidenote to your lengthy tidbit of linguistic history, I might add that I strongly suspect that the preservation of some Latin phraseology in Romanian is due not only to the fact that Romania was more isolated than the Latin speaking peoples whose languages evolved into the Western Romance family and therefore had less incentive toward grammatical simplification for interaction with different peoples, but perhaps even more so due to their geographical proximity to Slavic peoples who spoke and still speak languages possessing a level of grammatical inflection familiar and logical to Latin speakers.
Keeping in line with your example of using the dative structure to indicate possession, the Russian phrase 'у меня есть' is translated as 'I have' in English, but the literal translation is 'to me there is'. A peculiar way of phrasing such a thing to a native English or Spanish speaker... but probably easily grasped by a native Romanian.