We revisit the model of a Brownian particle in a heat bath submitted to an activelycontrolled force proportional to the velocity that leads to thermal noise reduction (colddamping). We investigate the influence of the continuous feedback on the fluctuations ofthe total entropy production and show that the explicit expression of the detailedfluctuation theorem involves different dynamics and observables in the forward andbackward processes. As an illustration, we study the analytically solvable case of aharmonic oscillator and calculate the characteristic function of the entropy production in anonequilibrium steady state. We then determine the corresponding large deviationfunction which results from an unusual interplay between ‘boundary’ and ‘bulk’contributions.