Why didn't the squirrel want to go swimming? Because he didn't want to get his nuts wet!
Squeamish Squirrel
Explanation
Explain Bear
Hey, listen up, you chucklehead! The joke is that 'nuts' can mean both the squirrel's actual nuts AND his... well, you know... his other 'nuts'. So, he doesn't want to get either kind wet! Bet you feel dumb for not getting it, huh? Well, don't worry, I bet you still play with sticks and rocks.