Dear consuelo: The phrase "cold feet" must be really ancient. Obviously it is the opposite of to "hot foot it" meaning to move rapidly. I found a site with hundreds of phrases explained, but they did not have any search system I could find. It's probably in there somewhere, you might enjoy browsing it.

http://members.aol.com/MorelandC/HaveOriginsIndex.htm

Here's another URL, with discussion of the phrase.

http://www.shu.ac.uk/web-admin/phrases/bulletin_board/7/messages/258.html