Water is a physical compound and can be found in gas, liquid and solid forms. Just today I found the gas form evaporating off the top of my coffee, and I often find the solid form over the windscreen of my car before I leave for work. The liquid form is everywhere, it even pops out of taps.
It is well accepted that things that are much more abstract can be owned. For example, things that are yet to come in to existence may be owned, and traded on a futures market. Things that will never have physical form, such as ideas, may be owned via patents under intellectual property and copyright law.
I am certain that water can be owned.
PJ Harvey - Dry, 1992