I don't think he was particularly cold in the book. He didn't seem to really want to single Gimli out for blindfolding. He appealed that it was their law, so he was bound to blindfold Gimli.
-Kevin
`You cannot go back,' said Haldir sternly. 'Now you have come thus far, you must be brought before the Lord and the Lady. They shall judge you, to hold you or to give you leave, as they will. You cannot cross the rivers again, and behind you there are now secret sentinels that you cannot pass. You would be slain before you saw them.'
- Coming to Lothlorien is not exactly the same as riding in to Rivendell in terms of welcome party.