Well I mean obviously water moves heat better than air, but the whole process is just such a pain it's not worth it.
1. You need to worry about microbes in the water
2. You need to add water from time to time if it leaks or evaporates off (I did every few months, no noticeable leaks but had to add anyway)
3. Every component needs to be specifically water cooled, or else it's air cooled, and every water block adds another little pain in the ass and additional expense to the system
4. Unless you're running your system under vacuum (no one does that) if it blows out, you're gonna wreck a bunch of hardware in a real hurry, so you need to care about your joints.
5. You still need to care about airflow because you're never going to be able to water cool *every* component.
6. You can buy absolutely enormous air cooling heatsinks off Aliexpress for like 30$

So unless you have some absurd space constraint, you're always going to save money and headache by using a bigger chassis and cooling exclusively with air.

Left is my old poweredge which *just* went to the dump, not because there was anything wrong, just because it's like 12 years old now and just not worth maintaining anymore.

Right is my current production machine, that pic is slightly out of date because now it has a (home made) fan shroud which forces air to travel through one CPU heatsink then the other, then out the back. All air that has been through a CPU heatsink goes out.

I beat the tar out of that machine and the fans stay quiet and temps stay under control.