To add to what /u/mostrengo said, AIOs (and water cooling more generally) has three advantages; the thermal capacity of the liquid itself, the potential to provide a higher surface area, and the ability to more optimally arrange that surface area to ensure a larger delta between the hot surface (the cooling fins) and the cold surface (the air).

Liquid, and especially water can hold more heat energy than air. Heat pipes leverage this to an extent, but their benefit is limited because it is a very small amount of water. Heat pipes can move small amounts of heat very very quickly, but saturate with a relatively low amount of heat (measured in Watts). Fluid water cooling systems are better for large quantities of heat.

Surface area plays perhaps the largest role in heat transfer, especially when transferring that heat to a low thermal conductivity medium like air. The volume of space directly over the CPU to fit cooling fins is limited by the size of the case and the presence of a GPU. Typically, the most you can reasonable fit is a dual 140mm tower, roughly the equivalent of a 280mm radiator. With water cooling, you can move the heat to a larger radiator with a larger overall cooling surface area, increasing the cooling capacity. If you are staying within the case, as is common with an AIO, this surface area is still usually limited to around a 420mm radiator, but with custom water cooling, the sky is the limit.

Finally, thermal transfer is a factor of the difference in temperatures between the hot side and the cold side. The larger the temperature difference, the greater the thermal transfer. In a dual tower air cooler, the first tower has a greater temperature difference than the second, meaning that the benefit of the second tower is lower. With a radiator, the full surface area has roughly the same temperature delta between the incoming air and its surface area. This generally means that, for the same surface area, you can move more heat with a radiator.

All of those things are going to increase your cooling capacity, but temperatures do not necessarily scale linearly with cooling capacity. If you have "enough" cooling capacity to dissipate a given heat load, the improvement in temperatures will become smaller with each additional "fan's worth" of cooling - aka "diminishing returns." At a certain point, doing something to improve heat transfer to a cooler could provide a larger benefit than increasing the total cooling capacity of that cooler.