Floridian here, yesterday I got home from a week long vacation to a dry place and I changed clothes and they literally felt wet. It was gross. Also it IS the humidity as you can't sweat as easily if the sweat doesn't evaporate
To be fair, I live in a high humidity area and visiting a ‘dry heat’ area was amazing. Being in the shade actually felt refreshing instead of oppressive and stuffy.
Cold, but still air? You're going to form a little heat bubble around you that makes it less bad. But as soon as a moderate breeze comes through, you lose that heat bubble. If you're wearing wind resistant clothes, you still have the layer of warm air at your skin.