I agree that it seems unintuitive, but compressibility of water is up to four orders of magnitude lower than a very plastic clay, and even worse than gravel[1]. Generally the speeds at which we impact water are slow enough that this effect is not noticable (i.e. we have time to sufficiently displace, not compress, the water without suffering a catastrophic deceleration).
[1]: https://en.wikipedia.org/wiki/Compressibility#Earth_science