We've got other materials we can use. But water has a lot going for it. It's relatively cheap, has an absolutely huge specific heat, isn't reactive/corrosive, and if there's a leak it's generally not going to spontaneously combust or poison everything, and it happens to have a fairly malleable phase-shift diagram.

Are there better materials for each of those above in isolation? Yes. But is there a better material on the whole? Not really.