I think he is saying that he is feeling lonely as his feelings of love is cold (as Siddhi does't reciprocation and loves Anand) and wants his shadow (Siddhi) to touch (hold) him and make him (his love) feel warm as her embrace will make him feel warm😕
You are right Rani,now you told me the meaning of that line,what i understood is he's referring her as his shadow n asking her to touch him n bring him out of his lonliness.The last two lines seems like he never says the above lines to her nor can she find that feeling in his eyes(she should feel his insecurites with her heart,Though i may be wrong in interpreting this shayari).