I've made quite a few posts on this before, so to avoid repeating myself I'll try and brief.
The main reason is survival, it's it's what we live for. I'll explain the different aspects of why they adapted to survive below:
- Food -
We can only speculate on what the Zoras consume, but I think we can all agree that they eat river fish, maybe river vegetation as well. They probably know where to go and finding food in a river is rather easy considering it's a small amount of water compared to an ocean. Food will probably be much be harder to find in a vast ocean and at a deeper depth as well.
- Competition -
Within their normal habitat, the Zoras are the prime residents - usually having complete control over the area. In an ocean they will find be surrounded by many more species and this will lead to competition for space, food etc.
- Habitat -
This kind of links into the point above, but Zoras are definitely at home within a small confined space next to a river or small space of water. Finding a habitat within a vast ocean is going to be much tougher. Also, Zoras are generally seen on surface, maybe they need a good balance of living underwater and on the surface.
- Predator Threat -
Zoras are under little threat, well unless Ganondorf comes along, in their usual safe space, but in a ocean there are tons of threats. In The Wind Waker we saw vicious Gyorgs, which could possibly cause a big threat to the race. Then of course you have the Big Octos and god knows what else.
- Different Conditions -
Sea water is very different from river water. The salinity is different, the food chain different and the temperature is much much warmer. Nine times out of ten, you put a river based fish in the ocean and it doesn't survive. They're completely different living conditions.
- Purpose -
It seems every race has a purpose in Hyrule. The Zoras usually offered Hyrule with a clear and constant source of water;however that purpose is completely lost if they lived in the Great Sea. Them adapting into the Rito Tribe gave them a new purpose - communication. Each Island was now separated by vast amounts of ocean thus making communication hard. The Rito tribe, with their wings, made transportation infinitely easier and so now they have a reason to exist.