There are two times when it would be useful to filter a beer: Before the boil (and after the sparge) and after. Is either stage more suitable to having the liquid be cold? Absolute. After the sparge, you are left with a hot, sugar-and-protein-rich liquid. Cooling it down will do two things: It will suspend the trub (proteins) in the liquid (although you want to reduce the amount of protein left in the wort for most styles of beer), resulting in a cloudier final product, and has the potential to force the sugar into microcrystals, which makes for more difficult fermentation and a cloudier beer. Probably more important to the commercial industry, though, is that fact that cooling down the brew between the sparge and the boil would increase the cost of energy used for the boil immensely.
I've heard/read people say that "cold filtered" means that the grain is sparged while cold, or that the wort is run through the grain bed a second time. Both of these things is just silly: You can't sparge while cold (sugar production would be low and trub content would be high), and running the wort through the grain bed a second time would fuck with your gravity.
So what about after the boil? After the boil, you cool the thing down anyway. Assuming that you actually mean "cold" and not "cool," I can only assume that they are referring to sub-45 degree temperatures. Well, news flash, that's where lager yeast ferment the best anyway. So of course your beer is going to be cold filtered: When you filter it during fermentation (whether it's by siphoning from a primary to a secondary fermenter, or by using some more complicated technique, you're filtering it while it's cold, and thereby "cold filtering" it.
So at first glance, it appears that the "cold filtering" nonsense is just that: Nonsense. The thing I'm not sure about is the whole protein thing. I'm not sure that I'm knowledgeable enough to know what kinds of proteins are desirable in the final (cooled) wort that goes into the fermenting containers, nor do I completely understand the role that protein plays in fermentation. I know that suspended proteins, and by extension, a high-protein mash, leads to cloudy beer (intentional in some circumstances -- most wheat beers (weizens) come to mind), but I cannot be sure if the cooling-then-heating-then-cooling process would actually serve to reduce cloudiness by precipitating proteins and then letting them sink as trub.
But regardless, I think the typical homebrewer should be able to get by saying, "My beer is cold filtered." Because odds are, it is. Or at least, "cool filtered," but that doesn't have quite the same ring. If worse comes to worse, you could put a seive under your tap, and claim that, after serving, it was cold filtered just minutes ago. I'm sure people will be impressed.