We present the results of research carried out for the first time, to the best of our knowledge, on the generation of terahertz radiation under the action of “single-color” and “dual-color” high-power femtosecond laser pulses on liquefied gas–liquid nitrogen. Our experimental results supported by careful theoretical interpretation showed clearly that under femtosecond laser radiation, liquid and air emit terahertz waves in a very different way. We assumed that the mobility of ions and electrons in liquid can play an essential role, forming a quasi-static electric field by means of ambipolar diffusion mechanism.