"Cold Heart" wasn't Elton John's first collaboration with Pnau. Per Variety, member Peter Mayes said the two parties met in 2007 after John discovered them. They worked together on an album in 2012, deliberately making use of John's lesser-known material, but when John approached Pnau about doing something in the streaming era, they decided to go for the big hits. Much of the heavy lifting needed to combine songs like "Rocket Man" and Sacrifice" was done by Mayes and Nick Littlemore.
Dua Lipa was brought in to record additional vocals. A big fan of John's — and of "Rocket Man" in particular — Lipa performed for the 2021 Elton John AIDS Foundation Academy Awards viewing party, where she and John became fast friends. Not long after, Lipa told "The Late Show with Stephen Colbert" that she was relaxing in her pool when she received a video call from John, asking if she'd like to collaborate on "Cold Heart." She wanted to say "yes" before even hearing the sample track. "'Rocket Man' is my driving song, it's my shower song, it's my song that I sing along to myself," she said.
"Without her, it wouldn't have been the same thing ... She just lifts it to another dimension," John told SiriusXM. After the pandemic, Lipa and John sang "Cold Heart" at their respective concerts and came together to perform it on the last North American dates of his farewell tour.