Yeah, I mean the White Walkers, not the Wights. The Wights are presumably okay with water aside from probably not being able to swim anymore unless they're very well-preserved.
The actual Walkers, though, seem to put on their bitch-pants whenever they get near a body of water. Even once the Wights were charging and the Dragons were raining down fire, they weren't very willing to advance toward the lake.
Whoops, misread. Yeah the white walkers seem to be landbound. Or maybe they're just really lazy.