Well, actually yes.
Like all fish, they constantly breathe water through their gills, to get oxygen and get rid of carbon dioxide. Gills are fine fingery things with a very good blood supply, and water can easily pass from the water to the blood, or the other way.
The salt in sea water has the effect of sucking water out of the blood (by osmosis), so sea fish are actually always short of water. They must constantly maintain water in their blood, and so they drink the sea-water. At the same time they secrete salt from their gill membranes back into the sea, to stop their blood becoming too salty.
Freshwater fish have the opposite problem. Their blood is more concentrated than the water, so their gills suck water in. They must avoid drinking too much, and constantly produce very large amounts of very dilute urine.
Sea-horses of course live in sea-water, though perhaps there are some estuary ones living in brackish water.