It is clear from the error the subplot does not have the 'xlabel' attribute. You need to use 'set_xlabel()' instead.
Make the following change in your code, and it should fix the error.
fig, axs = plt.subplots(len(cols), len(cols), figsize=(12, 12))
axs[i, j].scatter(x, y, c=colors)
axs[i, j].set_xlabel(cols[i])