Why does sound behave differently in water than in air?

Human ears are evolved to furnish a good impedance match between sound waves traveling in air, and the nerve array inside your ear that turns vibrations into electrical impulses. This means that the greatest possible amount of sound wave energy will be conveyed to those nerves, across the greatest possible range of different frequencies.

The characteristic impedance of water as a sound-carrying medium is completely different from that of air. When you immerse your ear in water, there will be a significant impedance mismatch between your ear and the water. The sound waves in the water will be poorly matched to your ear, which will make the sounds faint, and the sounds you do hear will be distorted because some frequencies will be attenuated more than others.

You can think of waves in matter, whether light waves or sounds waves, as acting on tiny tuning forks.

Light is scattered, reflected, etc, by being re-radiated by atoms. Like with a tuning fork, There's a characteristic frequency, the Natural Frequency, at which the electron in an atom will oscillate ideally leading to less dampening. Other frequencies are absorbed. this gives rise to objects having a characteristic color. Natural Frequency gives color.

A similar principle applies to sound. Materials treat different wavelengths differently in transmission, re-radiation, etc. Strike a tuning fork, its natural freqency yields a characteristic tone.

So as mentioned above, the ear is attuned to certain wave properties in the air, and the air itself propagates sound in a characteristic way.

Water transmits sounds differently, the composite "tuning forks" are stiffer. Then the transfer of the tuning forks of water to the tuning forks of the ear also have a different relation to the air sound relationship.

Paul G. Hewitt's Conceptual Physics has a really good treatment of this in non-mathematical terms.

When any wave enters a different medium, the wavelength and direction can change (from the refractive index of the medium). For example, there is a 33% change in refraction between water and air (for light).

Sound waves are less affected than waves at light speeds, but there is still an effect.

http://hyperphysics.phy-astr.gsu.edu/hbase/Sound/refrac.html