you can change "that" with "so" -> water so cold -> as in: the water is so/that cold, it hits you like (...)

I watched the movie Titanic not too long ago, so I remember this scene. :) Jack is talking about the water below them, at that moment. Rose is standing on the very edge of the ship, and if she fell right down there into the water, it would be absolutely freezing. If you watch this scene from the movie, I think you’ll see Jack and Rose looking down at the water when he says this.