Some liquids may make some pills dissolve too fast which can cause problems with either releasing the dose too quick or give you heartburn (or ulcers in extreme circumstances). some liquids may reduce the effects of some pills.
Of course, some pills may be perfectly OK to take with some other liquids, but it would be to much work to list which liquids are OK to take each pill with and which ones should be avoided so they all say take with water to be on the safe side.