If you look at chili pepper the hot taste is from Capsaicin. Capsaicin do not get dissolved in cold water but it is solvable in fat.
Milk contains fat, water, and most other drinks do not, and as a result. So milk is better in removing the Capsaicin.
Other things with fat are alos effective so a piece of bread with a lot of butter is, in my opinion, a lot more effective than milk in removing the spicy taste.
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