Fish breathe the dissolved oxygen in the water using their gills. However, extracting the oxygen is not easy. According to Encyclopaedia Britannica, air has about twenty times more oxygen than the same volume of water. Besides, water is much heavier and denser than air, so it takes a lot more work to move it around. The main reason why gills work for fish is the fact that fish are cold-blooded, which reduces their oxygen demands. On the other hand, warm-blooded animals like whales breathe air like people do because it will be hard to extract enough oxygen using gills.