Both seal and insulate the end of a cable where it meets a joint or termination; they differ in how they grip. A heat-shrink termination uses tubes and boots that shrink down tight when you play a gas torch over them, so it needs an open flame on site and a steady hand to heat evenly without scorching.
A cold-shrink termination is a pre-stretched rubber sleeve held open on a removable plastic spiral. You slide it into place and pull the spiral out; the rubber contracts onto the cable on its own, no flame needed. Cold-shrink is quicker, safer in areas where you cannot use a torch, and more forgiving of a rushed installer. Heat-shrink is cheaper and copes with a wider size range per kit. Both work well when fitted to the maker's instructions on a clean, correctly prepared cable.