Answer:
Because the drier air evaporates moisture off your skin more easily.
Step-by-step explanation:
The tricky thing, and the power of relative humidity, is that air varies widely in its ability to hold water vapor. Warm air can contain several times more water vapor than cold air. This means that conditions may be moister, and thus warmer, in Montgomery, Alabama, when relative humidity is 40% than, say, in Nome, Alaska, when relative humidity is 80%.