I think because of evaporation...
Let us see...
you pour, say, alcohol on the back of your hand. What happens is that the liquid starts to evaporate and it needs the heat from your hand to do that; so it takes heat away from your skin and flesh giving the sensation of cold. I think you can see it as when you touch a piece of metal. It seems cold because heat is escaping from your hand passing to the metal (good heat conductor) giving the sensation of cold.