It doesn't make much sense to me. I don't think your body really "knows" it's in the water. You start sweating when your core temperature exceeds a certain point. It seems to me that swimming in cool water would help maintain your core temperature much better than the evaporative cooling that sweating provides in air. Basically sweating in the water isn't doing you any good whatsoever, but I don't think your body knows this. It just starts sweating when you heat up.
edit: just found this which really doesn't help a whole lot, but I did find this funny:
My theory is more men pee in the pool.In fact one study found after training the researchers found the male swimmers lost 0.21 pounds, but women gained 0.02 pounds. These researchers believed excessive fluid consumption lead to increased weight gains, but passive water absorption is more likely.