"I am feeling cold."
Translation:मुझे ठंड लग रही है।
In this sentence, ठंड is used as a noun (The Hindi sentence would literally be something close to 'To me, coldness is felt). Every noun in Hindi has a grammatical gender (लिंग) associated with it. ठंड is feminine (स्त्री लिंग). So, it should always be 'लग रही है'.