Riot didn't even say it when reworking Thornmail but I KNEW IT!!
http://brainstormbrewery.com/wp-content/uploads/2014/04/i-Knew-it-e1397147056314-300x153.jpg
Cold Steel's on there so that combining Thormail with other items with that passive's less optimal.
As above no current reaction plans to Thornmail/its impacts in 7.15, but plans to watch it closely in 7.16.
So yeah that's why Thornmail has cold steel. To dissuade people from buying it along side randuins and other cold steel items. However we all know that 15% attack speed slow is useless so it's fine to buy it anyways :)
Also if they gave the item some other passive it could become overtuned really quick, grevious wounds is already a pretty stupid stat in it's current and only iteration. Adding another passive onto it sounds pretty no bueno amigo.