Is there any difference between thermal energy at room temperature in fluids(water) vs air?
First of all, just a minor thing, the thermal energy itself is always the same. You can't grab it, you can just measure it. What is different is the amount of energy "stored" in air or water, but its no different "energy".

The retainment of heat in the sea is due to the heat capacity. 
https://en.wikipedia.org/wiki/Heat_capacity
This is a specific property of each molecule.
To increase the temperature of 1 g water by 1 K you need more Energy than for 1 g of air. That is the reason why the temperature near the sea is more moderate (absorbing heat in the summer and releasing heat in winter). 

This is also a reason, why you can go into a sauna with 90 °C without burning yourself, but you can't grab into 90 °C hot water. This is also due to thermal conductivity but also due to the capacity. When your skin touches the 90 °C hot air, it is absorbing the heat providing you with cooler air around your skin. The same happens in water, but first, your skin has to absorb much more energy to cool down the water, second of all the surrounding water heats up the cooler water layer around your skin much quicker, than hot air does. That's why air is considered an isolation.