The water in a water bed will indeed settle down to the same temperature as everything else in the room, including a conventional bed. But you would still feel colder on the water bed. It has to do with the fact that water conducts heat away from your body a lot more efficiently than other materials do, such as a conventional mattress.
Heat is nothing more than the motion of a substance’s molecules. Various materials can transmit that motion, and hence conduct heat, with varying degrees of efficiency. The best way is by conduction, transmission directly from one molecule to the next to the next, and so on down the line. In order to do this, adjacent molecules must be close enough together to poke elbows.
In water, the molecules are just about touching, so the faster-moving (“hotter”) molecules can easily transmit some of their motion to the adjacent “cooler” molecules. The heat,in this case, your body heat, thus travels efficiently into the water, and you’ll feel cold unless some of that heat is restored to you by an electric heater.
Mattresses are a much poorer conductor of heat than water because they contain air. In air, the molecules are very far apart, with lots of empty space between them. They can therefore bump against each other only rarely, so the transfer of heat motion can take place only rarely and heat transmission is very slow. On a regular mattress, your body is putting out heat faster than the mattress can lead it away, so you stay cozy.
Want to be really cold? Try sleeping on a metal slab. Metals are superb conductors of heat because their atoms are held very close together by a “cement” of electrons.
Try thawing two boxes of frozen strawberries, one by leaving it out in the air at around 75 degrees Fahrenheit, and the other by immersing it in a bowl of cool tap water at around 65 degrees. Even though the water is cooler than the air, the strawberries will thaw faster in the water because water conducts heat to the box, that is, removes cold from the box, more efficiently.
Frozen strawberries can be thawed faster at 65 degrees Fahrenheit than at 75 degrees Fahrenheit.