We present a microscopic theory for electron-phonon energy exchange in Anderson insulators at low temperatures. The major contribution to the cooling power J e−ph (T el ) as a function of electron temperature T el is shown to be directly related to the correlation function of the local density of electron states K(ω). In Anderson insulators not far from localization transition, correlation function K(ω) is enhanced at small ω by wavefunction's multifractality and by the presence of Mott's resonant pairs of states. The theory we develop explains a huge enhancement of the cooling power observed in insulating Indium Oxide films as compared to predictions of the theory previously developed for disordered metals.