Breaking Benjamin lead singer Ben Burnley was in New York when he wrote the song. It was wintertime, really cold, and the singer was lonely. Stuck in a Manhattan hotel, he felt cut off from the world as he tried to write the We Are Not Alone
record. It was a difficult time for him.
"So Cold" took off, becoming Breaking Benjamin's first platinum record. Looking back at the song in 2020, Burnley told Apple Music
: "I'm glad I was in that dark space, because I owe my whole career to it."