Sure, if it's used as a coolant it will cool the object quicker. But that's about as relevant as how many times you can skip a rock on water in this case.
More important in this case would be the specific heat, which is basically a measure of how much energy it takes to increase the temperature of the medium a given amount. Water is FAR higher than air. Obviously it's going to take more energy to heat(Or cool) 100KG of water in a 100L tank vs approx 100 grams of air.
(Obviously, thermal conductivity matters too but it's not enough to change the results much)