We can explain this in a molecular level. We know that the difference between a gas and a liquid of the same composition is how fast their molecules are moving. So given a gas, their molecules are farther and faster when moving, but when they are cooled their bulk kinetic energy decreases. In other words their molecules start to move closer and move slower until it behaves more like a liquid molecule. This is the time when gases condense.
That is called condensation
A chemical or physical change
