This is due to the Leidenfrost effect. In this, effect, when the wetness on the hands comes in contact with something hotter than the boiling point of the liquid (the hot object, in this case), it produces an insulating vapour layer preventing the water on the hands to become hot rapidly. A sort of film coating covers the hands, acting as a direct contact between the hands and the hot object.
Why can we touch hot things for longer time when our hands are wet?
