1. Coldhands is also dead. Benjen, such as he is, may not want to further traumatize Bran. After all, the younger Stark doesn't even know Benjen went missing. 2. Coldhands is probably not the same person he was when he was alive-- e.g. Catelyn and Beric, although they were actually brought back to life. He may not care about Bran as family and may not even remember him. He could just have some sporadic memories, reflexes (call Sam "brother") and knowledge. 3. Coldhands refuses to show Bran and co. his face. This could be because his face is extremely decayed and would be frightening or it could be because he knows Bran would recognize him.