cold air is coming in, can it somehow be insulated? Thanks

Not easily. Depending on your wall thickness and construction, and the depth of the panel box, rigid insulation could have been placed behind it while the house was under construction, but that will be messy and difficult in a finished wall.

Rule #1 BE CAREFUL.

When I do home inspections I remove the main panel cover to view wire connections and breakers. Many times I notice cold air pouring in through the conduit from the meter socket outside. This is a large metal conduit, about 1 1/2 inches in diameter with three large insulated wires in it.

Many electricians will tuck a small piece of fiberglass insulation in the hole around the wires to stop air infiltration.

Remove the main panel cover. See rule #1 again. Wear rubber sole shoes, gloves can't hurt if you can turn the screwdriver. I hold the box lid tight with my forearm and remove the top two screws last so the panel cover won't fall down. If you like, turn the power off at the main breaker. The wires coming in will still be "hot", but 90% of the panel will be dead. Tucking insulation in around the three live wires can be very dangerous. Any break in the insulation from the original installation or from your screwdriver poking around will bring an early Fourth of July.

If your lucky and the main power switch is outside, turn that off from outside, then the inside box will be dead.

Better thought, call a licensed electrician to pull the meter outside, then tuck the insulation. In and out in five minutes.

Thanks for the replies. I didn't make myself clear on the situation. Sheetrock went up today in new construction of our home. Panel box is inside the garage attached to the living room wall. Insulators didn't do anything with this panel box. I'll be out there in the am, if something can be done. Thanks.