Although not ideal from a corrosion point of view, a bare thermocouple should work in water. Your problem might be caused by the fact that the water itself is connected to a different earth than your PC or laptop. Two ways to check this are:-
1/ If using a laptop, unplug the laptop power supply, if the reading corrects itself you have an earth loop problem.
2/ Connect a second thermocouple, not in the water but reading air temperature. If that thermocouple is not affected when the first is put in the water and is affected, then you do not have an earth loop problem. (An earth loop may cause an affected channel to be pulled out of it's common mode voltage range, which will then affect ALL channels at once.)
Hope this helps!