We report the results of a new experimental setup to measure the mechanical loss of coating layers on a thin sapphire disk at cryogenic temperatures. Some of the authors previously reported that there was no temperature dependence of the mechanical loss from a multilayer tantala/silica coating on a sapphire disk, both before and after heat treatment, although some reports indicate that Ta2O5 and SiO2 layers annealed at 600• C have loss peaks near 20 K. Since KAGRA, the Japanese gravitational wave detector, currently under construction, will be operated at 20 K and have coated sapphire mirrors, it is very important to clarify the mechanical loss behavior of tantala/silica coatings around this temperature. We carefully investigated a tantala/silica-coated sapphire disk with the new setup, annealed the disk, then investigated the annealed disk.