Whether coldcoinbitcoin.com or some other, possible to save our private key? I don't have wallet yet, so I do googling about it, and found that cold wallet is more secure than hot wallet, one of example of cold wallet I found is coldcoinbitcoin.com

And I think about how they can print our private keys, if they can print our private keys that means, they are possible to save them? is not that can be dangerous for our assets?
They appear to simply be offering a physical coin stamped with the Bitcoin logo. Moreover, it appears that the private key is generated by them, which means that nothing prevents them from keeping a copy.

You are far better off sticking to trusted hardware wallets such as Ledgers and Trezors. Never trust any service that has the possibility of keeping your keys accessible to themselves (obvious exceptions like custodial accounts on exchanges apply).