Remember those proteins from earlier? In cold milk, they exist in tightly coiled bundles. Then, as milk warms, the proteins unwind and start to wrap around the air bubbles, forming a kind of protective jacket. This is because one side of the protein is hydrophobic, meaning water repellent, and the other is hydrophilic, or attracted to water. The hydrophobic side will cling to the air bubbles, while the hydrophilic side holds close the water in the milk. It’s this action that captures the air in the liquid and gives milk its unique foaming properties.
Unfortunately, if the milk gets too hot, the proteins will completely break down, or denature, releasing the air and ruining your foam. This is why it's important to try to introduce air before the milk hits room temperature. After milk hits 100°F or room temperature, it is significantly harder to get those air bubbles to turn into a nice, velvety microfoam.