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I'm not sure why 'cold' would be a symptom, but if you look at a sight specific seritonin re-uptake inhibitor like MDMA (street name extacy) which affects areas of the thalamus and hypothalamus, there is deregulation in body temperature due to the drugs activity.  Antidepressants that control seratonin re-uptake are not sight specific, and function over large areas of the brain.  The only reason I could see for the feelings of cold would be a deregulation caused by the activity of his medication in the hypothalamus.  It would be a rare, a very very very rare side effect indeed, and the more prosaic response would be that it is a psychological reaction to the expectation of negative side effects.  If he is experiencing 'cold'  it is in response to an increase in body heat which, if it is not psychosomatic, could be gauged by a simple thermometer.  Less likely would be an interference with the brains subjective response to variations between core temperature and the surrounding environement.