You'll get sick if you do what you're about to do (often, go outside without being properly dressed). A shortened version of "you'll catch your death of cold." You can't go out without a coat at this time of year, you'll catch your death!

A warning issued (often hyperbolically) to one deemed vulnerable to becoming ill with the common cold. You'll catch your death of cold if you leave the house with wet hair—it's freezing outside! You'll catch your death in this weather if you don't put on a coat!