The propagation mechanisms of atmospheric pressure cold plasma jets have recently attracted much attention. In this paper, by using a self-consistent two-dimensional plasma fluid model, we have investigated the propagation problems in the cold atmospheric pressure helium plasma jets that are surrounded by helium itself and thin dielectric tube, respectively. The spatio-temporal distributions of electron density, ionization rate, electrical field, and electron temperature were obtained. It is found that both the radius and the permittivity of dielectric tube have an impact on the discharge characteristics. A new method of improving the electron density and plasma jet size was also proposed.