That is a really interesting question! It’s also really difficult to answer, but I’ll give it a shot!
When we say liquids, we mean a substance in a state where it flows. So a table is solid because it stays in the same shape, whereas milk is liquid because it takes the shape of whatever you pour it in to.
The word “wet” means how we feel something that is a liquid. So if you touch a table, you might sense lots of things (like “hard”, or “rough”), and wet is a similar word. It describes the sensation we get when we touch something that is liquid.
A lot of that sensation comes from the movement of a liquid: so if you run your hands through a bowl of water, you will feel it moving over your skin, which feels wet. It also comes because liquids won’t stay on your hand: if you have water on your skin after a bath, you will find that it eventually disappears even if you don’t touch it. That is because it is evaporating: turning into air. The feel of water turning into air is the other main part of feeling wet, because it makes us feel cool.