In refrigeration cycle, refrigerant must undergo a change in state in order for heat to be absorbed from environment.
The refrigerant has property of changing its state from liquid to vapor at normal room temperatures.
Have you ever felt your skin becoming cool whenever you put alcohol on it? Or even when a bit of petrol spilled onto your hands? It's because, alcohol or petrol has evaporated when it comes in contact with your skin.
The result - heat is removed from your skin, and it feels cool!
In a closed-loop refrigeration circuit, change of state from liquid to vapor is achieved mechanically by pressurizing liquid at one end and forcing it through a small opening at another end.
Once liquid comes out from small opening, it expands into vapor. The effect is similar to spray you get when you restrict outlet of your garden hose. But water is not a refrigerant. It does not feel cold because it does not change to a vapor.