That's not actually the case. Wool is one of the few natural fibers that will indeed keep you warm when wet. I couldn't tell you the precise reason as to why this is, but it is true. It is significantly better than wearing nothing at all. It is not as efficient or lightweight as modern synthetic fabrics, but it still does a pretty good job. In terms of the overall combination of windproofing, ability to shed water and ability to retain body heat when wet in a single fabric, wool is actually superior to most synthetics, which tend to be more specialized. If you could wear only one layer, wool would be a good choice. Of course, wool is so bulky that you can have better performance by layering synthetics, which often have better performance in specific areas. Layering is desireable anyway, since it both allows better retention of body heat and the ability to shed layers as you get warmer.