First of all, the soda is chilled already.
So that makes a difference.
Second, our body is already warm and heated.
So when it (the soda can) makes contact with our skin,
Our body gives away some heat, thus making us colder.
Another example: our hand is tranferring heat (fast moving molecules/atoms) to an object with slow paced molecules/atoms. Your hand is giving away energy, to an object with less energy. So you feel colder.
