He wasn't angry

As stated by the boy, it gets cold when the ghosts are angry. Malcolm became angry at the end when he discovered he was dead. Therefore the temperature became cold and you could see his wife's breath at that time.

It only gets cold when they're mad

Remember when Cole sees a couple of people hanging to the ceiling? He then tells Malcolm that it gets cold when the ghost get mad. Malcolm doesn't have any reason to be mad (some of the other ghost in the movie do) so it doesn't get cold around him. He's also a children's psychiatrist so he has to stay calm all the time. He gets mad in the ending when he finds out he's dead. BTW: it's not only getting mad that makes it cold but also emotions like pain or sadness.

Cold as ice

The temperature only drops when ghosts were either angry or upset (slashed wrist woman etc). Brucie's ghost is not upset 'til the end as he realises he is dead. Just like the boy who tells Cole he'll show where his dad's gun is the temperature doesn't drop but their dog gets frightened.

Only cold when upset

When Cole explains his gift to Bruce Willis' character he tells him that when the ghost get upset, it gets cold. Bruce Willis' character was the most placid person (dead or alive) I've ever seen. It stands to reason that he was not generating a lot of cold air under those conditions. The only time he became upset was when he realized that he was dead which was when you were able to see his wife's breath.

Happiness is a Virtue

That big climactic scene where Cole says "I see dead people", is the scene that explains your nitpick. Cole says that when the ghosts are mad, it gets very cold. Malcolm was always happy and cheerful with Cole so there was no need for it to get cold. At the end he is hit with all kinds of emotions so it gets cold. If you still have a conflict with what I am saying rent The Sixth Sense on DVD. In it they explain alot of things, such as the breath.