The energy they are reffering to is heat . When you swim in cold water the heat of your body is transffered to the water becasue i guess it s because it wants to reach and enqilibrium within the systems.Nature in general doesn t like gradients.And also in water we loose more heat compared to air of the same temperature i guess this happens because water compared to air is a liquid it has (greater density, it s directly in contact with our body)
