It’s a matter of thermal conductivity.
Cold and hot sensations actually depend on wether your skin is heating up or cooling down, you don’t really feel temperature like a thermometer.
Your body is 37 °C, water at 30 °C will sap away heat from your body fast, since it conducts heat very well. Air on the other hand conducts it much worse, so it can’t sap heat from your skin faster than your body produces heat.
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