Cold air blow is mostly to try to keep the endmills cooler when they are being run fast and hard enough for temperature to shorten it's life. This means the chips are coming off red hot. Even then, some will say the improvement over plain old air is questionable. The application is usually very hard steels where cutting tool temperatures are so high that coolant would cause fracturing of the endmills so they are run dry with air to help cool the tool and keep chips out of the way. I recently saw a big name tool which had cryogenic cooling via liquid CO2. They claimed something like 50% more tool life in superalloys for turbine blades.
Greg