When you step out of the shower your body is still wet and the heat in the bathroom quickly evaporates that water off your body.
So when the water gets evaporated off your skin quickly then you feel much colder as a result.
Even if you dry off some before stepping out of the shower there can still be beads of water on your body which then also quickly evaporate off your body so you feel cold when stepping out of the shower due to the evaporation process.