Well, when having looked at their webside, I noticed that
"The history of the club is rooted in the European tradition of saunas and cold-water bathing. The Polar Bear Club, "was a reason and a way to keep the bathhouses busy at Coney Island," says McGann. These days, the bathhouses are gone but some swimmers remain. " And they stay just some minutes in the water.
Polar Bears website
Actually, this is done quite a lot here in Europe (and in some places with an ever much longer tradition as well) - not only as a saune pleasure, but just for fun and fitness (they are makings holes in the ice of the Moscow-river!).
However, I personally even try to avoid the cold water swimming in a sauna!