We know this because on Friday Russia declassified pages and pages of its Cold War UFO sightings. A full 50% of the sightings were in the ocean, and a further 15% were in lakes like Baikal (the world's deepest)
In one sad case, three Russian navy diving cadets lost their lives chasing "a group of humanoid creatures dressed in silvery suits." In another, straight out of The Abyss, a sub commander details an encounter where an underwater UFO reached speeds of 230 knots. "It was like the objects defied the laws of physics," he said.
Regardless, accuracy of these reports aside, we can take solace in the fact that Ed Harris has experience with both space and sea.