The electrical conductivity of a semiconductor is determined by the number of charge carriers (electrons and holes) available for conduction.
These charge carriers are created when electrons gain enough thermal energy to jump from the valence band to the conduction band, leaving a hole behind.
The energy required for this jump is called the band gap energy.
At absolute zero temperature (0 Kelvin), there is no thermal energy available in the material.
Without any thermal energy, no electrons can make the jump across the band gap from the valence band to the conduction band.
As a result, the conduction band is completely empty of electrons, and the valence band is completely full.
Since there are no free charge carriers (neither free electrons in the conduction band nor holes in the valence band), the material cannot conduct electricity.
A material that cannot conduct electricity is defined as an insulator.
Therefore, at absolute zero, a pure (intrinsic) semiconductor behaves like a perfect insulator.