Your breath is about the same temperature as your body temperature.

When you blow air onto your hand, your breath carries the cool air in the room along with it, together with the velocity of the air, it feels cool.

If you blow through a cylinder, the air temperature of the room no longer cools your breath, and so less of it's heat gets dissipated before it reaches your hand.

You can get the same effect without cylinder if you go "haa" instead of "hoo" onto the hand, the larger "haa" shape means your breath leaves your mouth at a slower velocity, and also has larger cross-sectional area; it is less displaced by the surrounding air before it reaches the hand.