Why is acetone so cold?
Evaporation is an endothermic phenomenon, i.e. it absorbs heat in order to proceed. Acetone is a volatile solvent (it evaporates easily) so it absorbs much heat when evaporating, and your skin gets colder because of that. That is what you are feeling. So acetone is not "colder", it just cools down your skin more easily when evaporating.

Ether (aka diethyl ether) is even more powerful at this.



On another note, while acetone is a pretty safe solvent, it can damage your skin because it can take away skin's lipids and you get "dry hands". In France, your employer would be forced to provide you with protecting gloves, e.g. latex gloves.