Say Creature A is under the effect of a 1st level Armor of Agathys, casts Hex on Creature B. Creature B then attacks the creature that hexed it.

Assuming Creature A's concentration check succeeds, does Creature B take 5 cold damage (From Armor of Agathys) and 1d6 necrotic damage (From Hex) or just the 5 cold damage?

Hex adds damage to any 'attack', but I don't think the damage from Armor of Agathys counts as an attack.

All I could find in Sage Advice was this

Does the extra damage from hex only apply if there is an attack roll?

The extra damage in the Hex spell requires an attack that hits.

You're reading the SA instead of the rules. They're supplemental, not a replacement. Hex adds damage to the attacks made by the hexer.

Edit: In case I'm misunderstanding you, I'll be extra clear. A person with AoA who's struck by an attack does not attack in return. The spell simply deals damage.

Quote from Doug_Booshaka>>

Say Creature A is under the effect of a 1st level Armor of Agathys, casts Hex on Creature B. Creature B then attacks the creature that hexed it.

Assuming Creature A's concentration check succeeds, does Creature B take 5 cold damage (From Armor of Agathys) and 1d6 necrotic damage (From Hex) or just the 5 cold damage?

Hex adds damage to any 'attack', but I don't think the damage from Armor of Agathys counts as an attack.

Barring a special rule saying otherwise (an example such special rule is found on grapple), an attack requires an attack roll in order to exist.  As there is no attack roll, you know immediately that there is no attack.