It doesn't. It just feels that way.
When you run it under the water it cools it, but it's also cooling off the nerve endings there to reduce the sensation of pain. When you remove it from the water, the blood flow in that area increases a LOT as the body brings platelets and white blood cells and whatnot to bear as it tries to contain the damage. That's why it swells up. It feels hot to the touch because all that fresh blood from deep within your body is being routed to the surface in that one area to try to heal it.
( The Resident Loon Not a demographic. Do not measure., Fri 31 Oct 2008, 17:20, Reply)