The most common and most likely answer to this crossword clue is the 9 letter word GOOSEBUMP
I've seen this crossword clue in The Guardian
G
O
O
S
E
B
U
M
P
Buddy explains!
The straight part
We know that "that’s a cold response!" is the straight/definition part of the clue. The straight part is often a synonym or definition, in this case that’s a cold response! = goosebump.The cryptic/wordplay part
In cryptic crossword there's often an wordplay/cryptic part as well.This part involves a more complex hint, such as an anagram, homophone, hidden word, etc.
Sadly, We don't have an explanation for this specific crossword clue yet.
What does GOOSEBUMP mean?
GOOSEBUMP noun- (chiefly in plural) Raised skin, usually caused by the involuntary erection of hairs on the neck or arms caused by cold, excitement, or fear.