Because you are trying to make a solution. That means something has to be soluble in some liquid.
Most all of the steroids we use on the dark side are fat soluble. That means for them to dissolve - they have to be dissolved in fat...or...oil.
You can dissolve test base (or test no ester) in water, but once you add an ester - it becomes fat soluble. Water just won't work. I am sure if you heated the water up hot enough, it would dissolve the steroids - but it will be just like trying to mix oil and water at that point.
Hope that helps out a little bit.