Because it evaporate easily and fastly..the particles gain energy from your palm or surroundings and evaporate causing the palm to fell cool....

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Acetone , perfume, petrol are quite volatile substances.  They evaporate easily at room temperatures.  Their latent heat of evaporation is also very less compared to water.

Thus when we apply these substances on our hands, they evaporate quickly.  The molecules of these substance take heat from our body, and the atmospheric air to become vapour.  Since, heat is taken away from the body, the parts of body near the skin on the hands  gets cooler. 

So we feel cold on the palm....

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