I have dental cavities that only hurt when i hold very cold water in my mouth. what does this mean?

Some possibilities: There could be several possibilities... Exposed roots, called ab fractions, which may or may not have decay. Also a deep cavity which is close to the root can be cold sensitive. Please see a dentist for treatment

Nerve is dying: Unfotunately your tooth is going to need a root canal. Unless you just have very sensitive teeth. If you pain is severe, you wil probable need the root canal.