Sky's getting cold, we're flying from the north
This line most likely refers to coming down from drugs. Some drugs, such as cocaine (see here) can change how your body feels in terms of heat level. A bit more far-fetched may be the depressive side-effects of some drugs such as ecstasy, which Abel is known for consuming.
Later on in the verse, The Weeknd makes a reference to his aspiration to fly down to California (which is known mostly for being warm, at least more so than Canada), which this line could be foreshadowing.
Think of Canadian Geese migrating (or “flying”) to the south when winter begins.
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