It's cold in the sea... but substantially warmer in the water than exposed to the penetrating cold of an Antarctic winter! The sea temperature stays between -2'C and 10'C and there isn't wind chill underwater! In fact aquatic animals don't have the problem of regulating their body temperatures across such a wide range of conditions and activities as land animals, where sun, wind, precipitation and weather systems can have a much greater effect.
Aquatic mammals don't require great temperature flexibility. For insulation they use a layer of fat (blubber) instead of highly breathable fur (which would eventually become saturated).
It is interesting to note that humans with more body fat have substantially longer survival times in water and tend to "run hot" compared to skinny people. If you have ever stood around on a rainy, windy beach wearing a wet suit you will also understand how much warmer it is in the water and out of the breeze.