Heat transfers very quickly through *conduction*, which is when a hot thing is touching a cold thing and the heat flows into the cold thing through that touch.
Gases aren’t very dense and don’t touch your skin nearly as much. Gases are very good insulators because of this. So even though the air is very hot, it’s not touching you enough to transfer a lot of heat to you very quickly.
Water, on the other hand, is way more dense and touches your skin *a lot* so it transfers heat *very* quickly to you.
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