If you have water on you, does it *actually* cool or down, or do you just *feel* cold?
When your wet skin experiences air flow over it, water will evaporate. Evaporation causes cooling, as energy is transferred from the remaining water molecules to the ones that evaporate - energy in water molecules is being experienced as heat. Less energy -> less heat -> sensation of cooling.

This is why you feel cold, as opposed to when you stay submerged in the pool, or your skin is dry and it is just air movement - no evaporation is taking place.