Your body’s reaction to being too warm is to sweat. The sweat will evaporate, cooling your body down as it does so. This works well in air. However, in water, the sweat doesn’t do anything; it just mixes with the water, providing no cooling.

You might not even realize you’re sweating in a hot tub (especially if you’re splashing around), since your body does it automatically. However, you’ll definitely notice the sweat when you’re in air; it’ll bead up everywhere, and start dripping if it’s both hot and humid. Thus, you’ll realize you’re too hot much more quickly in air than in water.