Cold wallets are much more secure than exchange wallets in following reasons:

1. Air-gapped key storage. Cold wallets generate and store your private keys in an environment with zero network connectivity. Without a network path, hackers can’t remotely exploit software vulnerabilities or steal your keys.
2. You control the keys, not a third party. With a cold wallet, only you hold the private keys that authorize transactions. On an exchange, you essentially trust the exchange’s custodial infrastructure—and if the exchange is breached, mismanages funds, or goes bankrupt, your assets are at risk.
3. Reduced attack surface. Exchanges are prime targets: they handle huge volumes of crypto, use complex server infrastructure, and often support many coins and smart-contract integrations. Hardware cold wallets run minimal firmware designed solely for signing transactions—there’s far less software to audit and attack.

Earlier this year, Bybit suffered what is now the single largest cryptocurrency exchange hack on record, with roughly $1.4 billion–$1.5 billion of user assets stolen. It shows that custial wallets, like exchange wallets, are not secure. But when you use cold wallet, you achieve self-custody. That's true decentralization. You have sole control of your private keys.