Packing powerful chips tightly together produces a lot of heat in a small space, and blowing air across them eventually cannot keep up. Liquid cooling circulates a fluid that absorbs heat directly from the hot components and carries it away far more efficiently than air.
The liquid may run through cold plates pressed against chips, or in some designs the hardware is immersed in it entirely. It adds plumbing and complexity, but for the densest, hottest systems it is often the only practical way to keep temperatures safe without wasting enormous energy on fans.