For something to have “colour” it must absorb radiation in the visible frequency range of the electromagnetic spectrum. Water absorbs radiation in the microwave region of the electromagnetic spectrum, which is below the frequency range of visible light, and so it is clear and colourless.
Incidentally, the sea is blue mainly because it reflects the sky. And the sky is blue because air absorbs and reemits blue light more than other frequencies of light. Basically any question about why things do or don’t have colour is usually down to which part of the electromagnetic spectrum does it absorb.