Many gases become liquids at relatively modest pressures. Air, for example, does not. If you were to pressurize an aerosol can simply with air, the pressure would dissipate rather quickly. But something like Butane turns into a liquid at room temperature at a practical 6-10 atmospheres, and if you try to reduce the pressure it will boil and restore the pressure, until all of it has boiled off. This provides a lot more volume. This boiling action requires heat, just like boiling water does. It will absorb heat, and that's why you may have noticed that aerosol bottles become cold when used a lot.

That's also why many aerosols are very flammable. There are alternatives that aren't flammable, but they're often needlessly expensive. Butane is dirt cheap.