My Individual Answer:
We are hotter than the air conditioned room. As thermal energy flows from a hotter region to a colder region, thermal energy is transferred from our body to the air conditioned room. In addition, the sweat that remained on our skin will lose heat and evaporate into water vapour. Thus, we will feel cold when we enter an air conditioned room after work on a hot day.
We shiver because we lose more thermal energy in a short period of time. When we get out of the swimming pool, water droplets remain on our skin. They will evaporate, changing its state from liquid to gas. Thus, we shiver because the water changed its state.