I'm honestly not sure what he means there. I don't think he means Solas (I don't necessarily believe Solas is half elf. Even if he is a spirit turned elf like Cole made his own body, I don't consider that to make him half an elf). I'm wondering if maybe that's another of Cole's random movie references. With Cole, it's difficult to say, but I swear I've heard a similar phrase in a movie. It just sounds so familiar for some reason. Also, in Cole's personal quest, I think it's evident that Cole trusts Solas implicitly over everyone else, so the line doesn't really make sense in regards to Solas.
I think there is a "Never trust an elf," phrase from the hobbit movies? Maybe it was a Tolkein original? It's been a long time since I read it.
List of known half elves:
Alistair
Sandal (speculated?!)
Feynriel
Sera (we know nothing about her parentage? though I imagine she is not half)
Michele (that chev guy)
Kieran (if warden was elven and did it with morrigan, though he says this in all playthroughs so it can't be right)
I have no other thoughts on this really!
If Mythal is a human, as some people speculate, then it is possible also that Solas could fall into this category, though I do not subscribe to this theory.