The feeling of cold is less to do about the actual temperature of a substance. More importantly is the rate at which heat flows away from you into another substance. Think about touching a metal doorknob in your house and then touching the wooden door itself. Both will have the same temperature, but the metal doorknob is better at pulling heat away from you so it feels much colder. The same thing applies to air and water. Air is not as good at transfering heat as water is. So when you jump into 80° water it feels cool as your body heat can more easily flow into the water. Air is not good at this so your body heat builds up around you and you feel hot since the air cannot transfer the heat away from you. This same reasoning is why a breeze can make a hot day feel pleasant than another day with the same temperature and no breeze. The breeze constantly replaces the air around you moving the heat away more efficiently.

I know I'm leaving out a lot of detail in why different substances move heat better than others, but hopefully this gives you a good idea to start with.