Here's the neuroscientific explanation:
We sense temperature through neurons called 'thermoreceptors'. These neurons typically contain only one of six 'trp' channels which are sensitive to particular temperature ranges. This means that only a few innervated patches of your skin (about 1 mm square) are actually sensitive to temperature - and only specific temperatures, at that. If you had a small hot/cold probe, you would find these tiny areas are only responsive to hot
or cold. The spaces between them are not responsive to any temperatures at all (weird, huh?).
Menthol, the active ingredient in mint, happens to bind with the Trpm8 receptor, which is supposed to respond mainly to temperatures roughly between 0 and 15 degrees Celsius. Your brain interprets this activity as cold being detected, and you're fooled into feeling cool.
*Extra credit*
Sorry, there's some really cool stuff I can't help but include, although you didn't ask for it. Don't read this if you don't care.
The first Trp channel to be discovered was Trpv1. This channel is responsible for signaling painful elevations of temperature above 43 degrees Celsius. As you might be guessing, this is the channel that capsaicin (the active ingredient in hot peppers) acts upon.
The rabbit hole goes deeper here - the obvious question is
why would these receptors (which have evolved to be sensitive to temperature changes) be sensitive to capsaicin? It turns out that when our tissues are damaged, certain chemicals are released which cause the Trpv1 channel to be signal painful temperatures at below 43 degrees Celsius. Capsaicin appears to be mistaken for these chemicals by the Trpv1 channel, and so it fires at a lower temperature in response. When you eat habeneros, you're effectively feeling what your mouth's internal temperature would feel like if your cheeks/tongue/gums were damaged and extra sensitive.
Even cooler, if you ask me, is that some thermoreceptors break the 'rule' and have more than one Trp channel. Specifically, some neurons responsible for sensing cold also contain Trpv1 (the painful heat sensor). When a painfully hot stimulus is applied to a small area of skin containing such neurons, their activity is interpreted by the brain as a response to the cold temperatures they 'normally' respond to. This explains why very hot things can sometimes feel cold when they touch you.
Okay, one last tidbit - birds, unlike mammals, do not generally have this Trpv1 channel. This is why birdseed is sometimes laced with capsaicin - the birds can eat it without noticing, but any squirrels who try to will feel as if their mouths are on fire!

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