When we push out sounds, we are pushing air particles which are spread apart. These spread out particles hit each other creating a sound wave. Waves move more successfully through liquids and solids because the particles are more densely packed so they all hit and bump further out. The best conductor of sound would be a solid.
But, where is the proof? Mr. Musselman used a horn and his own voice to demonstrate how sound can be heard above water even if it is made in the water. It works but it is muffled: here's why. Both the instrument and human voices use air to create the push of air molecules to make a sound wave. The air molecules' spread out push does not have a huge impact on the water's more densely packed molecules causing the muffled sound. Simply put we are not made to most effectively make sound in water.