When we eat menthol sweets or when we rubb ourselves with oil of eucalyptus, we feel cold. The reason is that the menthol in mint stimulates the same nerve receptors as low temperature.
On nerve cells in our skin, mouth and mucous membranes there are different receptors, which among other perceive warmth and cold. A specific receptor is activated at a temperature below 25 degrees Celsius. This receptor sends a message to the brain that the area is cooled. Menthol molecule has a structure that binds to that receptor nerve. As a result, the brain sends a signal error on.
Same as that menthol binds to receptors for cold, active substance in chili binds to receptors for pain and heat.