Etre frileux:
in formal English: to feel the cold (easily); to be susceptible/sensitive to the cold
in informal English: to be a chilly mortal; (northern UK) to be nesh
I’m always using this expression in French/Spanish/Portuguese and couldn’t find an equivalent in English. The WR translates “nesh” differently though? http://www.wordreference.com/enfr/nesh
Is this “to be a chilly mortal” a humorous one or would you really say that very naturally?
The French expression is new to me but I reckon we'd also say "she /he feels the cold" (as a possible substitute for 'sensitive to the cold') since white_ray asked for something more colloquial.