Why does mint oil feel cold on the skin?
Anything related to mint usually contains menthol. What does it do? It triggers the TRPM8 ion channels, causing your skin's cold receptor to become sensitive, and causing it to overfire.

This causes the brain (receiving cold signals from skin) to feel cold, and that's why you feel cold.

I have summarised it in a few sentences, but as with any scientific discovery, it took quite a few years to fully understand what was going on. NCBI have summarised this quite nicely over here (http://www.ncbi.nlm.nih.gov/books/NBK5238/)