You’ve got particular nerves that are meant to detect “cold”. Menthol (the “minty” chemical) chemically binds to these nerves and causes them to activate, making you feel cold. Capsaicin does the same thing for the nerves that feel “heat”, making you feel a burning sensation.
Water is just a solvent, it just dissolves the relevant chemicals and carries them around, increasing the exposure to your nerves.
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