If we feel it's hotter when humidity increases, then why do we feel it's colder when inside water? When the humidity in the air is high, we sweat more and feel it's hotter than when the humidity is lower.
So why don't we feel it's hotter when we go inside water, where the water content is much higher than in the air, than when we're not inside the water? 
Is it just because it's liquid and not a gas?
 A: When you feel hot, you perspire so as to benefit by evaporative cooling.  As the relative humidity gets closer to 100%, the sweat cannot evaporate and evaporative cooling becomes less effective.
Liquid water is a much better conductor of heat than air (even humid air) is, so if the water is even a few degrees cooler than your body, you feel cold because the water is efficiently conducting your body heat away.  A room at 60°F (15°C) feels slightly chilly; in 60° water, you will die in a few hours.
The same is true of metal. On a very hot or very cold day, touch a metal pole and compare it to the feeling of a wood post: it will feel much, much hotter or colder respectively, because metal is a much better conductor of heat than wood.
A: You feel cold when heat is flowing from you to the surroundings, your body tries to burn more energy to keep up your temperature, so you shiver.
Water conducts heat much more effectively than air (more than 100x as well) so even with water at the same temperature as air you will lose a lot more heat and feel cold.
When your body is too hot it losses energy most efficiently by sweating. It releases water which evaporates, the energy needed for the water to go from liquid to gas comes from your skin which is then cooled. 
In humid conditions it is harder for the water to evaporate (because there is already a lot of gaseous water in the air) so you can't cool as efficiently and so feel hotter.
A: You are describing two different mechanisms of cooling the human body:
1) When we sweat our body produces fluids that tranfer heat from us through their evaporation (fluids  gets the heat from our body and evaporate).
One can easily understand that the more the surrounding enviroment has a highly humidity value , the more this heat- transfer  gets  difficult to occur ,so we feel more hot.
This is the reason that the air-condition units regulate both temperature and humidity.See also :https://en.wikipedia.org/wiki/Air_conditioning
2) On the other hand in the second case when we are in the water the heat-tranfer (if the water is cooler) occurs via convection - it has nothing to do with the humidity. 
A: There's an important difference between liquid water and water vapor. The difference is 539 calories per gram to be exact. That's why being in humid air makes you hotter - the water vapor has all this latent heat it can release upon you by condensing. Equivalently, it prevents your sweat from evaporating and absorbing this energy.
Liquid water doesn't have this problem.
