alcohol evaporates faster than water or sweat and causes a cooling sensation on the skin as it evaporates. Any liquids do this but since alcohol evaporates faster it's more noticeable.
Or if you want a better answer
Evaporation requires energy to change from liquid to a gas, and that energy comes from whatever the liquid is on, ie; your skin in this case. The energy gets transfered from your skin, in the form of lost heat energy, to the evaporating liquid, resulting in a drop of temperature. Refrigerators use this principle to cool the inside. The faster the evaporation rate, the larger the drop in temperature. Hope this helps.
