A boundary layer of still water near the skin acts as an insulator, reducing heat transfer, and this layer can be disturbed by movement.

“So, if you are in a cold bath and you're still, you develop a boundary layer. It's best to explain it in terms of a hot bath because 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.”