Where did you locate the air filter intake?
If the intake is located under the hood it will suck hot air from the engine compartment.
To be a true cold air intake system, it should take its suction from outside of the hot engine environment compartment.
Some install a Snorkel kit, but they are pricey and some don't like the looks of them.
Many others have installed the gasser V6 air box intake which takes it suction from just under the front lip of hood.
The V6 air box draws fresh air and possibly has a small ram air type of effect at increased vehicle speeds.
The nice thing about the V6 air box mod is it requires no modifications and uses all stock Jeep parts and is a direct drop-in replacement for the stock 2.8 diesel air filter assembly.
The V6 air boxes can be found for sale used on ebay at decent prices; just be sure it comes with the intake tube as pictured below.

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Supporting Vendor and Moderator of LOST05 Jeep Liberty CRD Limited 
Ironman Springs/Bilstein/Shocks
Yeti StgIV Hot Tune
Week's BatteryTray
No FCV/EGR
Samcos/ProVent
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Carter Intank-pmp
2mic.Sec.Fuel Filter
Flowmaster/NO CAT
V6Airbox/noVH
GM11 Bld.fan/HDClutch
IronrockArms/wwdieselMount98 Dodge Cummins 24 Valve