Short answer: Buoyancy.
Long answer: Water gives us an upward force, also known as the "buoyant force".
It is because of this force we can float in water easily.
This buoyant force makes us feel lighter in water, as it 'lifts' us up. Literally.
So the net gravitational force in water is LESS than that on ground because of the buoyant force.
When we come out of the pool or any water body, our body suddenly feels the normal gravitational force.
And our bodies feel heavy because there's no longer that buoyant force to make us feel lighter.