Why does water at 95 degrees Farenheit (35 degrees Celsius) feel cold when air at the same temperature feels hot?

The simple, somewhat dumb answer to that is that water is more effective at cooling the body than air.

95 degrees Farenheit is lower than body temperature so heat will naturally flow from the body into the surroundings, resulting in a cooling of the body. Both in air and in water, it is movement of the surrounding medium that helps the transport of heat from our skin to the surrounding air or water. In water for instance, 95 degree water comes in contact with our 99 degree skin. There is a heat exchange where the water warms up and the skin cools. The heated water then moves away and gets mixed with the rest of the cooler water, while heat from within our body rushes to the skin to warm it back up again. The cycle then begins again.

The difference between water and air is that the process is much more rapid in water than in air. Warmed air sits on the skin for a lot longer than the warmed water. So it takes a lot more energy from our body to maintain the 99 degree temperature in 95 degree water than it does in air. As a matter of fact, the cooling process in air is so inefficient that with 95 degree surrounding air, our body fails to cool if we exert ourselves and moving around feels uncomfortable. We start sweating in an attempt to remove heat from our body faster.