Brain wallet is for travelling with enough funds needed for getting home/getting out of trouble or for any purchases you'll expect to make while abroad.

True cold storage, distributed keys or multi-sig, is for long term protection from violence. A brain wallet (or a loaded HW wallet, etc) can be taken from you by torture. Anything you have immediate physical access to is at risk to violence or kidnapping. The wrench attack. You are not trained to resist torture, you will fail.