Up to DM interpretation
If teleporting objects as an attack is on the table, the DM will need to rule, and a standing house rule may be useful.
Regarding freezing sphere
Teleport requires "a single object that you can see within range".
As other answers have pointed out, freezing sphere describes the sphere as a "small globe about the size of a sling stone", but does not name it an object, so the DM has to decide.
Arguments for "it's an object"
- The spell describes the sphere as a "thing". You can touch it, throw it, hurl it with a sling, and it shatters on impact. Sounds like an object. The rules are pretty open-ended on what's an object. Lots of things in the game are clearly objects without being described as such; for instance, arrows and sling bullets are described as "items", the word object is never used. Clearly they're objects.
Arguments for "it's not an object"
It's a spell, duh. A spell is:
A spell is a discrete magical effect, a single shaping of the magical energies that suffuse the multiverse into a specific, limited expression.
It doesn't matter whether it's an object or not
Because the enterprising PC will just look for something else to teleport.
At the risk of reading between the lines, I don't think the asker is trying to exploit freezing sphere, I think they are trying to exploit teleport. If the frozen sphere is not an object, the next step is to teleport something else that is an object, that will cause damage.
Okay, if I can't teleport freezing sphere's sphere, what about explosives? Flaming oil?
Then the next point of contention is that teleport says "a single object". What does that mean? The rules also say an object can be made up of other objects. So the enterprising PC will be trying to see how much flaming oil or whatever they can fit into a single "object".
What matters is your game
A way of playing D&D is to imagine how the rules work separate from any game, to treat the rules as a deterministic machine. If I pull this lever here, this happens; if I push this button, that happens.
Some players spend time out of session imagining how things work, so they can do clever things in the session. Some players spend a great deal of time playing this way, others barely think about the game between sessions.
This hypothetical musing is useful up to a point, but in the end, it only matters (other than being a fun pastime by itself) in how it affects a particular game.
The rules are not a deterministic machine
Because once the rules don't say, the DM needs to adjudicate; the rules just aren't a completely deterministic machine. They are explicitly not.
From the Introduction to the DMG:
The rules don’t account for every possible situation that might arise during a typical D&D session.
The introduction to the Sage Advice Compendium says:
The game’s rules are meant to help organize, and even inspire, the action of a D&D campaign. The rules are a tool, and we want our tools to be as effective as possible. No matter how good those tools might be, they need a group of players to bring them to life and a DM to guide their use.
And also:
The DM is key. Many unexpected things can happen in a D&D campaign, and no set of rules could reasonably account for every contingency. If the rules tried to do so, the game would become unplayable. An alternative would be for the rules to severely limit what characters can do, which would be counter to the open-endedness of D&D.
Making the call
The DM and the players together make the rules come alive. It's the DM's call to decide what works when the rules don't say (or to override the rules), but the players shape those decisions, too.
Many games will never need to address the question of teleporting freezing sphere's sphere. They won't get to high-enough level play, or if they do, it just won't ever come up.
Discussing out of session
It can be useful to discuss these things out of session, so that valuable session time is not used up by rules lawyering.
Snap decisions
Sometimes the there's no time. The PC just tries it and the DM has to make a decision. Sometimes theoretical rulings are of limited use. In the introduction in the DMG, the paragraph that begins:
The rules don’t account for every possible situation that might arise during a typical D&D session.
goes on to describe an adjudication. The key takeaway is not how to adjudicate throwing a brazier at a monster, there are many ways to successfully adjudicate that particular or any particular situation. The key takeaway is that it's okay to make on-the-spot adjudications taking into account all the circumstances of the game at that time.
It's good that there's room in the rules so that desperate last ditch attempt when everything is on the line, maybe it works...this time.
The DM narrates the results of the adventurers' actions
Sometimes, the out-of-session discussion is just talk. Sometimes, the players just need to try something, and see how it plays out.
What is fun?
Attacking by teleporting objects is potentially broken, because if you can just kill monsters by teleporting in freezing spheres or explosives or whatever, then why ever actually attack?
And worse, if it works for the PCs, shouldn't it work for the monsters, too?
House rules
My recommendation is that the DM makes a house rule for this particular game to address these circumstances.
Possibilities:
Perhaps much like teleport's destination uncertainty, there is an uncertainty in teleporting volatile objects. Sure, you can teleport the frozen sphere, but there's a chance that teleport will set it off before the teleport.
Perhaps it requires an arcana check. Fail the arcana check and the teleport is wasted.
Make teleport not be pinpoint precise at longer ranges (courtesy user2754).
Anti-teleport wards of long duration of some kind, accessible for thinking enemies (courtesy user2754).
What really matters is house rules that work for your table.
An example
We were faced with a situation involving teleport where we made a house rule.
The PCs wanted to teleport in on a bunch of mind flayers and so get the drop on them.
The DM had a couple of concerns. They were concerned that it wouldn't be much fun if every big encounter involved either the PCs teleporting in, getting surprise, and devastating the monsters before they ever got a shot in. They also pointed out that if it works for the PCs it should work for the monsters. The PCs had experienced being attacked by high level monsters where most of the PCs were surprised the first round, and had expressed that as a regular style of play it wouldn't be much fun.
So we (the DM and the players together) came up with a house rule that teleporting by itself does not give you surprise.
This particular house rule may or may not make much sense to you. It doesn't matter. The point is, we made a rule that made it work for us.