You can't even compare, exchanges are custodial but cold storage is non-custodial. If you look at the pros and cons of the two, you will discover that the cold storage outweighs the hot storage ( exchange) in most of them if not only in the expansiveness. The risk of cold storage is so little and it has proven to be the most secure way to store your crypto assets. The risk with the hot storage (exchange and others) will always be there because the crypto asset is in the gadget that is being connected to the internet, so anything can happen at any time.

Although the cold storage is not entirely free from hacking, the possibility is so slim if used correctly. This is so nice to the extent that experts are calling it an "excellent" way to secure your crypto assets.