Why does rubbing alcohol feel cold?

Rubbing alcohol feels cold on the skin because as soon as it comes in contact, the temperature of the body causes it to change from liquid to gas, which pulls heat from the surrounding environment, including the skin. The result of this reaction is a cold feeling.

When a substance changes from one state to another that has a higher energy level (as in melting from a solid to a liquid or evaporating from a liquid to a gas), it absorbs the heat energy around it. The opposite happens when steam condenses into water, as this reaction releases heat, which is why steam causes such painful burns.