Changes in state are physical changes. Let's take water as an example. H2O. In the gaseous state, we sometimes call it steam or water vapor; it's chemical formula is still H2O. In the liquid state and in the solid state (ice), the chemical formula is H2O.
In a physical change, the original substance is still there - it may be in a different state or shape, but there are no new substances formed. For a chemical change to occur, new products with new chemical formulas must be produced. If sodium is added to water, a chemical change occurs because hydrogen gas and sodium hydroxide are produced. The atoms of the reactants have been rearranged to form new products.
When CO2 is a solid, we call it dry ice. If left out at room temperature, the CO2 will sublime. It will go directly from a solid to a gas. The chemical formula is still CO2; thus a physical change.
Very easy explanation with additional info here http://www.chem4kids.com/files/matter_chemphys.html