In this paper we employ a recent proposal of C. Tsallis and formulate the first law of thermodynamics for gravitating systems in terms of the extensive but non-additive entropy. We pay a particular attention to an integrating factor for the heat one-form and show that in contrast to conventional thermodynamics it factorizes into thermal and entropic part. Ensuing two laws of thermodynamics imply Tsallis cosmology, which is then subsequently used to address the observed discrepancy between current bound on the Dark Matter relic abundance and present IceCube data on high-energy neutrinos. To resolve this contradiction we keep the conventional minimal Yukawa-type interaction between standard model and Dark Matter particles but replace the usual Friedmann field equations with Tsallis-cosmology-based modified Friedmann equations. We show that when the Tsallis scaling exponent δ∼1.57 (or equivalently, the holographic scaling exponent α∼3.13) the aforementioned discrepancy disappears.