Two parts:
Specific Heat Capacity: How much energy a medium can store
Thermal Conductivity: How easy a medium transfer the energy it stores from Highest to Lowest.
This is why a book at 70f and a frying pan at the same 70f feel different. The pan takes the 98.6f heat from your body via conduction faster than the book so initially the pan feels cooler.
Air versus Water is like Book vs Frying Pan until the heat energy reaches equilibrium or your body adapts to the temp.
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