That's why divers wear wetsuits. Wetsuits and other thermal protection acts as an insulator to slow down that natural heat loss. If you are properly prepared for the dive, you won't get cold. Some people think that just because you can't talk to your buddy while you're underwater, it's lonely. Nothing could be further from the truth.
Diving is a social sport.
Half the fun is spent discussing what you saw on the boat or shore between dives. Divers love to talk about their sport. Also, you'll be surprised how much you can communicate with your dive buddy underwater with a few hand signals, by pointing and by scribbling a message on a dive slate. Sharks are relatively rare creatures. Your odds of even seeing one are low.