You're right - the cooling system isn't going to need to dissipate more heat than it itself (the fan) and the CPU/GPU are actually consuming. For example, if the CPU+GPU are consuming 45W, the cooling system isn't going to be dissipating more than 45W of heat energy. Energy doesn't come out of nowhere.
TDP is a measure of the maximum power use that the CPU+GPU will consume with reasonably computationally-intense 'real world' applications running. The power consumed by the CPU+GPU and therefore the heat energy generated will vary based on the computing task that the CPU+GPU are working on. The cooling system - fans, heatsinks, heat pipes - need to be designed to dissipate this much heat energy. If the CPU+GPU exceed this thermal envelope (like with a busy-waiting heat virus), the CPU and or GPU will either clock-step down or shut off/crash.
http://www.silentpcreview.com/article169-page3.html
http://en.wikipedia.org/wiki/Thermal_design_power