Trying to keep this simple, in addition to humidity (convection) we also radiate heat. This can be felt if you stand in front of a window on a very cold day, you can feel this radiation. You notice this in front of the window because there is a sudden change between the rest of the room and that location, but this exchange happens wherever there is a temperature difference, so even if the air temp and humidity were exactly the same, you would feel colder in a room with cold walls.
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