Your Wave is overheated! Try letting it rest a bit before trying to cool again.
The body of your Wave is aluminum and naturally warms up with use. From a physics perspective, "cold" doesn't exist—it's merely the absence of energy (heat). So the device is using energy to siphon the heat from your body into the body of the device. How hot your body is and how hot the environment is will dictate the amount of cooling that your Wave can deliver before it needs to rest.
To get the most out of your Wave, make sure the device is exposed to the air (i.e., not covered by a sleeve) so that it can dissipate heat more easily, and that it isn’t starting out warm to begin with (don't leave it sitting out in the sun!). Another useful trick is to wear your Wave a bit loosely when you aren’t actively using it, so that it starts out cooler when you want to begin a cooling session.
We are continually improving the control algorithms to improve heat management during cooling sessions, so be sure to download the app (if you haven't already) to have access to the latest firmware and updates.