The private key of the address you are trying to sign has to be in the wallet. If it is not, it is not possible for you to sign a message using that address. Even if the address is a change address, the private key should be stored in the wallet.
Go to Console and type ismine("1YOURADDRESS") while replacing it with your address. If the response is false, you cannot sign a message with that address with your cold wallet.
I am sure the address is mine in my Electrum cold wallet. It can be displayed in my Electrum watch only wallet by the order listaddresses(). But when i type ismine("MYADDRESS") , the response is false, why?
The command checks if the wallet has the corresponding private key of the address. This means that you do not have the private key of the address. Without the private key, you will not be able to sign a message with it.
You have likely imported the address as a watch only address.
There are a few different ways just not on electrum. Try out
but I would download the website first and disconnect from the internet.