It was liquid nitrogen, not helium:
A CPU has no moving parts and is entirely enclosed, unlike a harddrive. They're also made out of ceramics, silicone, and metals that are far more temperature resistant than a harddrive with a fragile disk. AMD is also only doing this as a one time demonstration sort of thing. If you do something like this regularly you'd probably end up breaking the CPU due to stress fractures. Not that it would be practical at all, since AMD was literally just dumping the nitrogen on the CPU and there was no sort of sustainable loop or anything like that.