With Humpawumpa's answer in place, we know that every linear regulator will produce the power \$P_\text{diss}\$ as heat. In you case, that is up to 3.9 W.
But how much hotter does your package get?
So the Changjiang data sheet claims a thermal resistance of 5°C/W, i.e. for every watt you dissipate, your device gets 5°C warmer, if the pins of the package are connected to an infinitely good cooler. If they are not, it will be warmer.
However, that claim is wrong: It's from the Fairchild LM317, from where also the schematic in the data sheet is stolen:
changjiang data sheet

Fairchild data sheet ca 2001, drawing probably 2e1 years older

Such low thermal resistances are achievable with large packages with large thermal contacts, such as the TO-220 package of the original LM317:

Conclusion
So, someone simply copy-and-pasted together the datasheet of your version of the LM317. All bets are off – whoever sells these regulators clearly didn't have the intention to spend money on thermally qualifying their devices.
Course of action
So, throw away your LM317. Instead of buying from sketchy Chinese sellers, selling sketchy chines clones of simple devices, buy from a reputable distributor selling original parts from TI, ST, On semiconductors or Analog Devices – these all actually test their chips.
Still, in your usage scenario, no matter which chip you'll buy, it'll get hot – use a switch-mode power supply instead if that bothers you.