I guess it depends on what temperature the bathwater was?
If the bathwater was cold, then your hand slowly warms up and drys, and you eventually feel better than you did with your hand in a bath of cold water.
If the bathwater was warm/hot, then your hand also slowly drys, but may feel, at least at first, colder than it was before, a change you initially regret. However, even that feeling will rapidly fade into simple normality....
...and if the bathwater was scalding hot, the simple act of removal itself is a blessed relief!