Yeah, it's a magical defense mechanism that triggers when he's weak and his magic is too low. His magic shrinks his soul into its smallest physical form, a small gryphon in his case, so it can redirect all of his energy to replenish his magic.

Arrakis probably won't go into the complicated details of his magic, like why he feels so cold, unless Hibiki asks. She accepted him as a gryphon so he would be more willing to open up about it.