This is actually surprising, but on the other hand, it shouldn't be. Cole has been huge for 2 straight cup runs and has been a real heart and soul, balls to the wall player for the Penguins. However, all of these are factors too:
1. Cole is a free agent after the year that's likely going to get over $3.5 million a year, some team will delude themselves into thinking he's a top-4 D.
2. Cole has been outplayed by Hunwick and Ruhwedel so far, and both of those guys are cost controlled for longer. Ruhwedel is also a RHD, so the pairs end up with 1 lefty and 1 righty. The Penguins would be fine with Hunwick, Ruhwedel and Corrado (who also looked good this year) as their #5-#7.
3. The entire team has struggled this year and they need a shakeup. Cole has been a heart and soul guy for this team for nearly 3 years, so trading him may spark the team. The team also has holes that need to be corrected.
So it makes sense when you look at it. It's the Penguins looking to move a valuable, but also expendable, pending UFA defenseman to help some other area on the roster and possibly spark the team. My guess is that he gets moved for a LW, if I had to give a position. Although I'm very curious to see if the Bozak speculation has any merit, Bozak for Cole isn't good for Toronto, but it's not terribly far off in value.