From Unofficial Stationeers Wiki

A coolant is a gas which is used in a loop or line based pipe connection which is attached to the pipe connection of the Wall Cooler, it is used to remove heat from the room and through the use of radiator will cool the gas inside of the loop, cooling the room.

Pollutant is the currently the most used coolant. Water (specifically, steam) is more effective as a coolant however, it is harder to find, the more abundant Pollutant is therefore a more preferable coolant.