Dry ice is frozen carbon dioxide. It is easy to assume that the fog surrounds dry ice is carbon dioxide returning to it's gaseous however, you can not see that process. The vapors you see is the water molecules in the air condensing as a result of the cooling or energy removal by the dry ice. When energy is removed from water molecules they become colder and move slower than water in a gaseous. Similar to clouds in the air, the water condenses into a form that you can see.
