Besides the obstacle of it being difficult to cool objects in space (you need atmosphere to do convection cooling, i.e. heatsinks), you need to somehow actually

Besides the obstacle of it being difficult to cool objects in space (you need atmosphere to do convection cooling, i.e. heatsinks), you need to somehow actually get everything in space. It costs a lot of money to get heavy things into orbit, whereas it costs nothing to sink those same objects in the water which naturally has better thermal conductivity to boot. As another bonus, you can get at it much easier if you need to perform maintenance by e.g. attaching pods to a crane rig and simply raising it.