Mechanical loss of dielectric mirror coatings sets fundamental limits for both gravitational wave detectors and cavity-stabilized optical local oscillators for atomic clocks. Two approaches are used to determine the mechanical loss: ringdown measurements of the coating quality factor and direct measurement of the coating thermal noise. Here we report a systematic study of the mirror thermal noise at 4, 16, 124, and 300 K by operating reference cavities at these temperatures. The directly measured thermal noise is used to extract the mechanical loss for SiO2/Ta2O5 coatings, which are compared with previously reported values.