Why doesnt milk in the refrigerator ever taste as cold as the water or soda in the refrigerator?

Actually, the milk does get as cold as the water and the soda. One can verify this with a thermometer.

What happens here is that we do not taste the milk to be as cold because the milk contains fat solids, that somehow distort our perception. Taste experts refer to this phenomenon as "mouthfeel."

Another way to test this is to keep in your freezer an ice cream cone and a popscicle for 24 hours. Then eat them both. Which one do you think will taste colder?