Helium has the second highest [1] specific heat capacity (after hydrogen); it's significantly higher than that of even water. It's damn efficient at cooling or heating. With that, it's chemically inert, unlike hydrogen or ammonia. There's no reasonable substitute.
Heat capacity is irrelevant -- argon and helium have exactly the same heat capacity per liter of gas, which would be the figure of merit in this context.
Heat conductivity, on the other hand, is an order of magnitude higher for helium, compared to argon, because its atoms are moving faster due to their lower mass.
When the gas is used for cooling, heat conductivity is important because it determines the conductivity through the boundary layer near surface, where the velocity of the flow drops to zero at the surface itself, and all the heat transport is through conduction rather than advection.
[1]: https://en.wikipedia.org/wiki/Table_of_specific_heat_capacit... (Sort by the third column.)