Evolved response. Humans and other animals have become wired to react to danger – because the ones that did were more likely to survive than those that ignored possible danger.
Historically, having your face suddenly wet with cold water means you’ve fallen into a river or lake. This is an immediately life-threatening situation. Your fight-or-flight system kicks in with a shot of adrenaline to give you the alertness and strength you need to GET OUT NOW.
It’s the same “jolt” feeling as when someone sneaks up and scares you, because it’s the same system kicking in – the deep old part of your lizard-brain reacting reflexively to something it sees as a threat.
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