For something to be flammable, it has to be able to reach a lower energy state through reaction (so it will release more energy than it uses up, and that energy will trigger more reactions in the remaining material). Otherwise a small amount might react, but will use up the available energy and be unable to react anymore. Water is hydrogen bonded with oxygen, not just hydrogen and oxygen in the same place, and is already in a very low energy state, so there are very few things that will react with it to produce an even lower energy state. In point of fact, water is part of what you get when you burn organics like wood or even oils (the other part being mostly carbon dioxide), so it should make some sense that you can't burn it. There are some exceptions, such as pure Lithium, but nothing in the atmosphere or in the average bathtub.