You can feel the lubrication that moisture provides between the glove and the other surface. You can feel evaporative cooling as the moisture evaporates. You can feel the heat transfer from your skin through the gloves yo the (presumably) cold liquid prior to evaporation.
All three are the same phenomena that you would feel if there were liquid directly on your skin, so it feels very similar: enough to potentially trick your brain into thinking your hand is wet.
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