It took nature billions of years to invent gills. Even so, gills only work for cold blooded animals like fish which have much lower oxygen demands than mammals. Even nature couldn't create anything which would let warm blooded animals get their oxygen from what's dissolved in water (which is much less than what's available in air) so whales and porpoises have lungs just like us.
Therefore, there's been no reason for anyone to try to invent a device to efficiently extract dissolved oxygen from water. There just isn't enough there to support a person even if you could get it all, unless you had something which sucked in huge amounts of water to process, which seems pointless at best.
Much easier to compress air or use electricity to electrolyze water and get oxygen from it.
Also, saying we know "how gills work" is like saying we know how white blood cells work. It's a big step from saying that to having any idea how to make a working one from scratch.