CT said it.
Think of it like kenetic energy (which it is on an atomic scale). You take a bunch of atoms in a gas and compress them, they get HOT. That heat can radiate out to equilibrium with the surrounding environment. When you decompress, you get this lower energy compressed gas to lose even more energy (in the expulsion of the gas itself, as well as decompressing and having fewer collisions, I believe, on the containment surface).
It cools down. Go and find a set of Nitrogen tanks they use for somethings (like cleaning and construction). Once they have been used (or leaking) for a while, they will develop frost. This is not because they WERE cold, but they are GETTING cold.
Same thing with the compressed air cans you get.
Now, as for liquids? That is an even LOWER energy state. You only get gasses to become liquids by either compressing them so that their own volitility is not enough to allow them to escape (the external pressure plust their own attraction to each other keeps them in liquid form) or dropping their temp and reducing their thermal energy/velocity to below "escape" velocity (boiling).
A gas that is a liquid is only cold at atmospheric temp when it has been cooled first.....
I hope you have it clear! It's important to know the basics of some of this stuff like it was the alphabet. It makes other things much easier to "see" when studying more advanced topics.....