What should a woman do if she sends a text message saying she is cold?

That depends on the specific situation.

If it's someone you like and you really care, make a phone call, ask a few questions, or go and see her if you can, little surprise.

If it is someone who likes you, it depends on whether you are willing to pity.

If you are friends, send a message to greet you appropriately to enhance friendship.

If they are relatives or elders, they should be filial.