You go from having open veins and capillaries to shutting them right down - rather suddenly. Yes, man have been known for years to have heart attacks or strokes going from sauna/steam room to even just a cold pool, never mind an ice bath or polar plunge. I've heard this since the 1970s, at least. I don't know that it's "common," but no one but an acclimated athlete should try it. I'm pretty sure there are better ways to recover from an exercise session.