Water temperatures in Canada are slow to heat up, and just as slow to cool down. It takes 4 times the energy to heat up water than to heat air. Water also “feels” colder because water is a more efficient medium than air to cool our body down.

If the air and the water are the same temperature, what accounts for the difference that we perceive? It’s a matter of heat transfer, the transition of thermal energy from a hotter object to a cooler object.
As long as the temperature of your body is higher than the temperature of the surrounding medium (air or water, for example), your body will give off heat. As soon as the surrounding temperature becomes higher than that of your body, though, you’ll start to absorb heat.

It’s pleasant standing outside on a nice day in 21°C (70°F) air.  But if you jump into 21°C (70°F) pool water you will probably feel cold, at least until you “get used” to the water temperature (your body might reduce blood flow to your extremities and skin to try to reduce energy loss).

The reason the water feels colder than air is because water is the better conductor of the two. When you hop into that 21°C (70°F) pool, heat escapes your body much more easily than it would if you were standing beside the pool in 21°C (70°F) air. Because the water takes more heat from your body, and quicker, it feels colder.