I think this is because hot water cools down much faster – because hot water has faster rates of evaporation which helps carry away the extra heat more quickly than cold water.
Not always! It can happen though, yes. Dave already gave one of the reasons why: the warmer water may partially evaporate in the process, decreasing its volume and loosing extra heat.
I looked for other reasons and apparently there is still a lot of discussion on why exactly this happens. It seems to be a combination of effects besides evaporation, such as hot water being able to cool down faster because it has less gases dissolved in it.
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