Is there a way to prevent LaTeX from splitting long footnotes across multiple column/pages?

Use \interfootnotelinepenalty=10000 to totally disallow this. But be prepared for other layout artifacts... Setting the penalty lower than 10000 will give TeX some flexibility in deciding when the side effects are too bad to bear.

For a detailed discussion see the TeX FAQ item Why does LaTeX split footnotes across pages?

I've found that it's best to get the style sheet from where you're trying to publish, and just use their format (I'm assuming you're trying to publish somewhere, if you're using a double-column format). The editors can then handle wacky footnoting. If it's for a thesis, I don't know about your committee, but mine has told me that a single column, double-spaced is the way to go, which should avoid your problem in the first place.