It is in the context of this (and other) expressions with avoir-adjective. Whether a male or female, it is always - j’ai froid/chaud, tu as froid/chaud, il a froid/chaud, elle a froid/chaud etc to say that somebody “feels cold/hot”

This contrasts with expressions être-adjective where adjectival agreement with the grammatical gender of the subject is required. Note however that je suis/ tu es/il est/elle est used with the adjectives froid/e or chaud/e all carry a significantly different meaning - faux pas you don’t want to make !  https://www.frenchentree.com/living-in-france/learn-french/faux-pas-in-french/