Why do I wear long sleeves and pants in a tropical climate? Since my teens, I've have a weird and rare condition called Aquagenic Pruritus. It means "itch from water", but it's not an accurate name. Any change in temperature cause prickling sensations. Water on skin changes temperature, but so does shade, a breeze, humidity, a touch, a seat etc etc etc. A very minor change in temperature can set it off. Covering up with long sleeves and pants prevents temperature changes. There is no visible effect, which makes people doubt that it's real. Since it's rare, affected people can't find the name of the condition and often conclude that they are just going insane.
Here's a story that describes how it feels. I was wearing jeans and working on a car battery. The battery exploded and particles flew. I kept working on the issue but noticed a familiar sensation on my legs. I ignored it because I thought it was just the normal itching. A few minutes later I noticed that battery acid had burned holes in my jeans and was causing the prickling sensation on my skin.