Answer: Because our body heat escapes faster when the skin is wet.
Step-by-step explanation:
We feel colder after swimming on a windy day primarily because of the heat escaping our bodies faster due to the skin being wet. This is a result of the molecules of water which are absorbing the heat from the surrounding, in this case our bodies, which is required for it to evaporate. In other words, our body heat is used for the evaporation process. In addition, wind, which essentially is the movement of the air around us, accelerates this process.