I believe it is possibly for three reasons.
Firstly, the time had to come in Middle-Earth when all Elves, or very near that, must depart from it. Therefore they do not fully belong there -- the changing, dangerous and dying lands of mortals -- but instead in the Undying Lands, where the eternity and peacefulness suit them well. The sea calls to them. The sea hints at something apart from Middle-Earth; it flows onto all shores, and is what will bring them to Valinor. I.E. the same sea that the Elves can watch, lapping on the shores of ME, also touches Valinor, their heart's longing, so they love it and want to follow it to it's joyous end.
Within that, or seperate from it, there is a different circumstance for the High Elves and the Morquendi. The Noldor have seen Valinor, and their time on earth is but an exile. Thus the sea draws them ultimately back. The Sea elves perhaps love the sea for a different reason, namely the aforementioned encounter with Osse and Ulmo. Hmmm... not too sure about the Sindari, though. Maybe the first reason covers them?
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