This phenomenon is known as acoustic impedance. Acoustic impedance is a measure of the opposition to the flow of sound waves. The higher the acoustic impedance, the greater the opposition to sound waves. Water has a higher acoustic impedance than air, so it is more difficult for sound waves to travel through water. This is why the tuning fork produces a lower pitch in water.
The change in frequency can be used to measure the density of water. This is a technique that is used in hydrology to measure the density of water in rivers, lakes, and oceans.