Many people have tooth sensitivity to cold stimuli like breathing in cold air or drinking a cold beverage. Tooth sensitivity can have a variety of causes, including brushing too hard, receding gums, or chipped or broken teeth. If you feel that zing, I'm sure you'll want to take action to try to prevent it from happening again.
There are things you can do to try to reduce your tooth sensitivity. You can use a soft-bristled toothbrush and toothpaste for sensitive teeth. You can also use toothpaste or a mouth rinse that contains fluoride.
Of course, the best first step is to see the dentist to discuss your sensitivity issues (for your teeth, anyway).