No, the meaning isn't "I'm super cool or hot". It is just slang and means "I'm leaving to do something cool/more relaxing". It sort of means the speaker is tired of what's going on, and just announces to all that he's had enough/he's off and going to do something better. What he considers is "more cool".
It is very much slang and some will never say it or hear it, while in some groups the expression may be a little more common.