To better explain, fill a glass full of water, as you reach the top fill it carefully. What you will notice is it rises past the top the glass, this is surface tension and provides a “skin” if you will, to hold it, simple physics.

Now try the same thing with a metal container, notice air pockets, this is caused by surface tension, waters “skin” in action again.

Now add a detergent, and try the above experiments, you’ll notice it won’t work as well. This proves the theory, since water contacts more surface it increases the ability to transfer heat. This is why heat sinks on most computers have a heat transfer compound, a.k.a. thermal grease, to increase heat transfer. A gas will conduct heat, but not as well as a liquid.