It doesn’t, your body temperature is so high that you don’t actually feel the cold instantly. I would recommend taking a cold shower after exercise, because, if you just sit, you’ll be getting dirty and if, for any reasons you get to a cold place while sweating, well, you may catch a cold, but if you take a shower, you’ll feel more relaxed and cleaner than before and you reduce your chances of getting a cold (compared to being sweaty in a cold place)
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