Originally Posted by ZenSilk
It cools after it is released into the air from your mouth.
After being released, it is spread out very wide over a large area. Glycerin absorbs moisture from the air, and if the temperature of the air in the room is below your body temperature the smoke will always feel cool; because the moisture it has absorbed is near the same of the room temperature, which is a good 10-20 degrees below normal body temp.
For the smoke to feel cold it not only has to be colder than your body, but colder than room temperature. Otherwise it will feel the same as the air around you.