Water has a massive amount of thermal capacity and can quickly and in bulk be cooled to optimal temperatures. You'd probably still need fans and AC to dissipate heat of non-liquid cooled parts, but for the big energy items like CPUs and GPUs/compute engines, you could ship out huge amounts of heat fairly quickly and directly.
I guess the complexity and risk of a leak would be a problem, but for amazon sized data centers that doesn't seem like a major concern.