We report the cooling of electrons in nanoelectronic Coulomb blockade thermometers below 4 mK. Above 7 mK the devices are in good thermal contact with the environment, well isolated from electrical noise, and not susceptible to self-heating. This is attributed to an optimised design that incorporates cooling fins with a high electron-phonon coupling and on-chip electronic filters, combined with a low-noise electronic measurement setup. Below 7 mK the electron temperature is seen to diverge from the ambient temperature. By immersing a Coulomb Blockade Thermometer in the 3He/4He refrigerant of a dilution refrigerator, we measure a lowest electron temperature of 3.7 mK.