Neither the power, nor cooling, requirements are necessarily environmentally harmful. As always ymmv.

First water; there are plenty of places on the planet where water is bountiful. If you site a data center well (say on a big lake in a rainfall area) then water is not an issue. An "using" water in this way doesn't affect water scarce areas.

Equally lots of electricity can be generated in environmentally harmless ways. Solar, wind, hydro are all clean. (Hydro depending on how and where.)

Yes, in the long run, it may make sense to put data centers outside the US. Norway for example has no problem cooling things down. And hydro is abundant.

Plus, water "consumption" is also variable. Water is used for cooling, but is not necessarily "lost". Its "used" in the sense of "made use of" but may also then be "used for something else".