Several good answers already explain practical difficulties of cooling. There is a more fundamental asymmetry in nature, however. In a nutshell, any organized form of energy can be fully turned into heat, while the reverse process is not possible. This allows many ways for heating, but not for cooling.
For example, we can burn fuel to make something very hot. But the opposite process does not happen spontaneously — it is not possible to sprinkle a hot object with ashes such that the ashes would spontaneously turn back into fuel while cooling the object.
For the same reason, a microwave oven can easily heat food, but there is no way to undo the process and turn all the heat back into electricity.
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