Eli5 version: it’s just like heating a house with radiators: water gets heated, the heat goes into the air, it takes a while for it to reach the whole house.
Higher level: it has to do with the rate that heat transfers. It seems like it’s getting hotter because more of the heat is being transferred from the object into your hand. If you heat up a piece of metal and put it into water, it’s heat is transferred to the water until the two reach thermal equilibrium.
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