You probably got the flu from another person near you. According to the CDC, the flu virus is most commonly spread when someone near you coughs or sneezes. They can be up to 6 feet (1.8m) away. The flu virus lives on surfaces for only 2-6 hours. Many flu viruses can be killed at sauna temperatures.
If you were in the sauna with someone else who had the flu, this would be a really quick way to transmit it. While in the sauna, your respiratory tract can become more susceptible to the flu.
Thanks for commenting. Hope you get well soon.
