4 Big Reasons: 1. Mainly compactness, as liquids ate much more dense than gases. 2. Also importantly, the enthalpy of evaporation. This adds a significant boost to the heat energy that can be moved by a given volume of refrigerant. 3. Further, liquids have higher thermal conductivity than gases under most conditions, especially low temperature ones. 4. Liquid evap temperature is fixed for a given system, which is convenient for most refrigeration apps like freezing water, or chilling without freezing. A gas-only system, on the other hand, would need precise flow control and sensor feedback to maintain temperature regardless of load.