Lyric discussion by Coow 

Cover art for Frankenstein lyrics by Antony and the Johnsons

Sexual identity is only a little part of this song. I think it's primarily about the fear of falling in love because of the fear of being hurt. That's the fall that his mother was warning him about. But now that he's come to terms with who s/he is she is strong enough to take that fall with the person. The cold is a metaphor for love as well.