Water molecules are closer together (more dense) than are air molecules and sound is a compressive phenomenon, meaning that a sound wave is carried through a medium by the molecules of that medium transferring the sound energy one to another. If the molecules are closer together, this energy transfer happens more quickly. Human ears aren't really designed to notice this difference, mostly because we're in air all the time, but dolphins and whales take great advantage of it

More Info: www.answers.com