Cat's skin and fur is a good protection from cold, but not from water. When a cut get wet, if it's cold outside, he's very likely to catch a cold, and since cats have really sensetive lungs, it can lead to them being very sick very fast.
With that being said, if a cat's in a warm surrounding , they can actually enjoy water, I had a cut who would walk on the ledge of the bath tum every time I took a bath and play with the water with her paws, it was slippery and every now and then she would slide into the water, she didn't love it but it didn't keep her from playing in the water next chance she had.
If your cat like playing with water it's important to dry them well after they are done, especially in winter.