Water molecules are already packed closely together (although free to move around) atatmospheric pressure, so cannot be compressed significantly by application of pressure. The molecules making up air, or any other gas, are much further apart, so it's easy to force them closer together. If I remember rightly 1 litre of water will produce about 1000 litres of water vapour at 1 atmosphere pressure, which means the molecules are around 10 times further apart.