Well consider that in the system across the pressure loss energy cannot be created or destroyed. Think of the pressure as a sort of energy in terms of the kinetic movement of the gas particles. At high pressures the gas molecules are tightly packed and cannot vibrate or bounce far before a collision occurs and therefore the molecules don’t move very fast and have a lower kinetic energy at higher pressures.

As you drop the pressure by moving the gas across an orifice or into atmosphere the gas can suddenly occupy a larger volume and the molecules have more room to bounce between each other and bounce much faster thus they have a greater kinetic energy. In order for the molecules of gas to increase their kinetic energy they must gain that energy from somewhere and thus they absorb the thermal energy of their surroundings to do the work of increasing their kinetic energy!

temperature change of a real gas or liquid (as differentiated from an ideal gas) when it is forced through a valve or porous plug while kept insulated so that no heat is exchanged with the environment. This procedure is called a throttling process or Joule–Thomson process. At room temperature, all gases except hydrogen, helium and neon cool upon expansion by the Joule–Thomson process; these three gases experience the same effect but only at lower temperatures.

The throttling process is commonly exploited in thermal machines such as refrigerators, air conditioners, heat pumps, and liquefiers.