Actually, milk does get as cold as water or soft drinks. If you are having a particularly boring Saturday night, you might want to stick a thermometer into the liquids to prove that Milk at the same temperature as water or soft drinks just doesn't taste as cold to us because milk contains fat solids.
We perceive solids as less cold than liquids.
If the milk/water/soft drink test wasn't exciting enough for you, run a test in your freezer compartment that will demonstrate the same principle.
Put a container of premium high-butterfat ice cream in the freezer along with a container of low-fat or non-fat frozen yogurt. Consume them. We'll bet you two to one that the yogurt will taste colder than the ice cream.
For the sake of research, people performed this experiment with due rigour, and because they wanted to go out of their way to assure the accuracy of the experiment, they conducted the test on many different flavours of ice cream and yogurt. Oh, the sacrifices people make!