I'm not sure of the scientific explanation, but I can tell you from personal experience that certain fabrics remain "survivable" warm when they're soaking wet. Example...

I went snowboarding one time in Japan. I had to buy new gloves on the mountain. The labels were in Japanese, and I don't read Japanese. I decided to buy some gloves that were clearly fleece (polyester) on the inside. That day it started raining pretty hard on the mountain. The water went straight through my cheap-ass gloves. Although my hands were uncomfortable from the wetness, my hands were not unbearably cold. The glove exteriors, although worthless for waterproofing, must have provided a bit of insulation for warmth. The saving grace was the fleece insulation underneath the glove exteriors. By the way, I'm the type of person with hands that get cold easily.

During lunch time, I had a chance to wring out my gloves. They were completely full of water, but the fleece insulation did wring out more easily than other fabrics would have. It did stop raining, and I was able to continue snowboarding with gloves that were about 95% dry.