It's the menthol. Two teams of researchers (one at the University of California and another at the Scripps Research Institute) studied how menthol makes your mouth feel "cool". They discovered that what makes chili peppers seem hot, makes menthol feel cold–it comes down to microscopic cell receptors. The teams called the receptor two different names, we'll go with CMR1 (Cold Menthol Receptor Type 1) because it includes menthol in the name.

The CMR1 receptor is activated within a range of temperatures–between 8 and 28 degrees Celsius. When exposed to these temperatures, the receptor lets large amounts of calcium atoms into the cell, which causes another set of reactions. The same receptor, it turns out, is also activated by menthol–tricking you into thinking it is "cool".

There are two other receptors (which are in the same protein family as CMR1) identified by scientists: VR1 for hot, and VRL1 for super hot. Think hot chili peppers. VR1 covers temperatures greater than 43 degrees Celsius and VRL-1 covers temperatures greater than 50 degrees Celsius. So what about receptors to identify temperatures between 28 and 43 degrees? Researchers, somewhere, are working on that.