The reason helium floats is because it is less dense than air, and so a helium-filled balloon essentially becomes a bubble of helium in the atmosphere. Cooling down a helium-filled balloon will cause it to shrink and sink, but not because it loses helium. Temperature changes affect the density of gases: their density increases as the temperature drops. As a result, the helium reaches a point where it becomes denser than air, and it sinks.
Density and Molecules
Density refers to how tightly the molecules in a substance are packed. In room-temperature helium, the molecules move about freely and are spread far apart, much more than regular air. Ergo, they are less dense than air and they float. When the temperature drops, the molecules move slower and move closer together, which lowers the volume. It is this decrease in volume that makes the cooled-down balloon appear deflated. The gas inside is now smaller, which doesn't expand the balloon as much.