The air is at room temperature and at very high pressure before it's released. The increase in temperature which occured while it was being [slowly] compressed has been given up as heat to its surroundings.
This air has some water vapour in it. If the air is very suddenly allowed to expand into the room it will cool very rapidly - the explanation for that is in my sig file - the general gas equation. When the air very rapidly cools it can no longer hold a small amount of water in it as vapour. The water vapour condenses into fine droplets. That's why you experience cold wet air on release.