Does Being Cold Burn Calories. Does cold water burn calories? Can being cold help you lose weight? Every woman seems concerned with getting more steps and more calories burned. So being cold and sleeping cold to a degree, has been proven to. Shivering with cold may be as effective as exercise at helping. But freezing yourself comes with some heart risks as well. But, what it doesnt say, is that in one hour, you can burn 798 calories!!!