In DS9, the changelings can change their forms to all sorts of fantastic things including changing states of matter, such as to a plasma, which would take a marked increase in energy. Why then, can they get cold, as in S7E06 (Treachery, Faith, and the Great River) where Odo is seen shivering (and somewhat implies he can also die from lack of oxygen, though doesn't actually state it)?
Edit: I suppose I should say, I'm preferably looking for a canon answer if possible. Some mention of the logic one way or the other in the show. But failing that, plausible speculation is acceptable.