Your core body temperature is at 98.6 degrees. Your skin is cooler. That's why when you take your temperature you put the thermometer far into your mouth and under your tongue, not on your skin. That's one reason. The other is that the temperature sensors in your skin are detecting the difference between the ordinary air temperature and the water you are putting on your skin. The 98.6 degree water is warmer than the 72 degree air, so it feels hot. Finally, the speed at which water transfers heat to your skin is greater than air, so warm water feels warmer than warm air.