I'm guessing that this means that Coldhands will not appear. I've always thought it was Benjen Stark and they probably don't want to reveal it in the show and are perhaps saving it for the books.
I don't think it was Benjen. He might have seemed the most likely candidate before, but after ADWD it seems unlikely.
Before ADWD, no one who knew Benjen had seen Coldhands. During ADWD Bran spends a lot of time with him, and didn't think he was Benjen. He only had a scarf over his face, not enough to conceal his identity from someone he's related to. A scarf also wouldn't conceal his voice.
One of the children of the forest said that Coldhands died a long time ago. When you consider how old they live, a long time ago to them, would be a very long time ago.
When Coldhands kills his Elk, he says a prayer in a language Bran doesn't recognize, most likely the Old Tongue. That does help rule out Benjen, and makes it more likely that Coldhands is from the distant past.
Coldhands being ancient, does explain why he knows about the Black Gate at the Nightfort, which has been abandoned for 200+ years.
If he was old enough to have fought against the others, it would also makes it likely that he's the one who buried the dragon glass and the Horn of Joramun.
Joramun, the Night's King, or the last hero all seem more likely candidates to be Coldhands than Benjen.
When asked who he was, he said, "I'm your monster, Brandon Stark." He was talking to Brandon, but you could read that as he himself is a Brandon Stark from long ago. Brandon was a popular Stark name.