Question

why oil is use to fry the things not other liquid

Answer 1

Frying is done at around 170 C. What that does is high heat changes the food surface and prevent food juice to come out. So you get a crispy outside ( due to high heat) and soft inside). This is a quality acceptable in a fried food.

Many many thousands years back, when our ancestors did not invented a suitable pot or have oil in hand, used to heat cook a food by exposing it directly to high temperature ( similar to today’s grilling); it gives a different texture and flavor to a food that has been being used even today.