Dye Tied
Garden Variety Gnome
Water has a higher specific heat capacity than the air does - in other words, it stores more energy (of lacks more energy) than air does at the same temperature. Basically, that means it has the ability to suck heat from you at a faster rate than air does. So, if there is more water in the air, then it will feel colder, even if the temperature is the same.
Think of it like this - if you were to go outside when it was 45 degrees, it might feel cold - but not nearly as cold as it would feel if you were to jump into 45 degree water.
My sister always says "but it's a dry cold here in Vermont!" I've been there in Feb. and cold is cold!