A boundary layer of still water develops during cold water immersion but not during a cold shower.

“Yes, it's best to explain it in terms of a hot bath, 'cause everybody's experienced that. You get into a hot bath and, oh my God, it's really hot, almost painful. And then you sit down and eventually it doesn't feel so hot anymore, because the still water, which is close to your skin, is coming into equilibrium with your skin. So it's like having a blanket on you or an insulator on you. And then if you move around, you disturb that still water layer. You feel the hot temperature again.”