The temperature shouldn't be an issue, but there might be a couple related matters worth keeping in mind.
LED's, being very small, will warm up very quickly once out of the freezer. Keeping it cold may be challenging, but being in contact with a large heat sink that is also frozen would help.
If it's not soldered in place, there may be some humidity concerns. Here's what one datasheet says:
Moisture Sensitivity
Cree recommends keeping XLamp LEDs in the provided, resealable moisture-barrier packaging (MBP) until immediately prior to soldering. Unopened MBPs that contain XLamp LEDs do not need special storage for moisture sensitivity.
Once the MBP is opened, XLamp XHP35 LEDs may be stored as MSL 1 per JEDEC J-STD-033, meaning they have unlimited floor life in conditions of ≤ 30 ºC/85% relative humidity (RH). Regardless of the storage condition, Cree recommends sealing any unsoldered LEDs in the original MBP.
The referenced JEDEC standard indicates this is apparently due to the potential for moisture to soak into the chip, then expand when heated for soldering, potentially damaging the chip. Cree says theirs are ok up to at least 85% humidity, but I don't know if condensation due to the cold could be a concern in your case. If so, I think a couple hours in an oven at low temperature or a couple days in a ziplock along with a bag of desiccant will probably help ensure no problems.