In the hope of providing a not-so-scientific answer that might be a bit more accessible to OP:
The molecules (or atoms, in case of a noble gas) are "zipping around" at a very high speed, so each of them has a comparably high kinetic energy. While the molecules of the fluid, in your case water, are moving much slower at the same temperature.
If the gas molecules get diluted in the water, they can't keep their kinetic energy, they collide with the much slower water molecules all the time, speed those up a bit, and lose their own speed. We can measure the "speeding up" of the water molecules as the water temperature rising.
This is basically the same mechanism that's behind heat of condensation.
This does not yet take any chemical bonds into consideration - forming chemical bonds will, in many cases, release additional energy. But this does not seem to be what your question is about.