That's called chill haze.
From How to Brew:
"Rapid cooling also forms the Cold Break. This is composed of another group of proteins that need to be thermally shocked into precipitating out of the wort. Slow cooling will not affect them. Cold break, or rather the lack of it, is the cause of Chill Haze. When a beer is chilled for drinking, these proteins partially precipitate forming a haze. As the beer warms up, the proteins re-dissolve. Only by rapid chilling from near-boiling to room temperature will the Cold Break proteins permanently precipitate and not cause Chill Haze. Chill haze is usually regarded as a cosmetic problem. "