Why does my filling hurt so bad when eating cold things?

Filling too tall: It is not unusual for new filling to be sensitive for few days.If sensitivity continues past 3-4 days, new filling may be too tall. This makes the tooth very sensitive and requires adjustment to lower height of the filling. If pain is severe and new filling is deep/close to the nerve, the nerve may be damaged/dying possibly requiring a root canal. Teeth grinding can also make tooth sensitive.

How old is it?: A new filling will be sensitive for a few days in many patients. The larger/deeper it is the more sensitive usually. Silver fillings are metal and conduct temperature fairly well, tooth colored fillings have some irritative factors that cause sensitivity. If an older filling, then you might have some breakdown or pulp(nerve) issues and should have it looked at by a dentist.