Likely a combination of practicality, and the importance of airflow throughout the sand in order to heat it and pull from it effectively.

Also, water's specific heat capacity is 4.186 J/g°C, while air's is approximately 1.005 J/g°C. It would take much more energy to heat up water than it would to heat up air.

Also, water boils at 100 degrees, and they store it in the sand at 600 degrees.