The only issue I can see is if you are cold crashing in a carboy or bucket using an airlock. As the headspace cools down, the air in the headspace contracts pulling in air though your solution in the airlock and into the carboy. Now, as stated on other threads, this may be negligible, but why risk any oxidation if need be?
Obviously, the best way would be to close transfer from your primary into a keg and then cold crash in the keg (racking to another keg if a clearer beer pour is desired). If you can't do that, then take the Denny Conn route and put some saran wrap over the top of the carboy opening and cold crash that way. I go one step further and use the saran wrap with aluminum foil over top both rubber banded down (I am overkill of course).
If you want to minimize cold crashing time and desire very clear beer, the best route is to cold crash for about 24 -36 hrs then simply gelatin fine as you rack to a keg. Minimal time and clear beer = AWESOME!