We study cold denaturation of proteins at high pressures. Using multicanonical Monte Carlo simulations of a model protein in a water bath, we investigate the effect of water density fluctuations on protein stability. We find that above the pressure where water freezes to the dense ice phase (approximately 2 kbars) the mechanism for cold denaturation with decreasing temperature is the loss of local low-density water structure. We find our results in agreement with data of bovine pancreatic ribonuclease A.