You should first consider if you need to convert the rows/columns of a matrix into a cell array, since it's rarely the most efficient way of doing things. If there's no better way to do what you want to do, you could use array comprehension:
{a[:, i] for i = 1:size(a, 2)} # cols
{a[i, :][:] for i = 1:size(a, 1)} # rows
or mapslices:
mapslices(x->{x}, a, 1)[:] # cols
mapslices(x->{x}, a, 2)[:] # rows
(The [:] above converts 2D row/column vectors into 1D column vectors. Depending on your application, you may not want/need this.)