I understand your question now.
As you compress the gas, the atoms retain they're starting kinetic energy. As the volume decreases, more collisions occur releasing heat. The heat created is not enough to balance the equation, so the pressure increases also. If you compress the gas slowly, the temperature change is negligible. Do it quickly and it is VERY noticable.
anecdote: an inexperience SCUBA shop tech will open the valves all the way and will fill your tank to its rated pressure of 3000 PSI in less than a minute. They then give you a warm tank to take diving. When you get to the dive site, the tank has cooled and you have 2800PSI. An experienced tech will take 5-10 minutes to fill your tank and you will get to dive with 3000PSI