When ice melts, it changes from a solid to a liquid, the process is called melting and occurs at a temperature called the melting point.
In order to change from a solid to a liquid, ice must absorb heat energy. The absorbed energy makes the molecules move faster and faster. When the molecules move faster, the matter becomes less solid and more liquid.
The water is a better conductor of heat energy than air is. If the air and the water are the same temperature, the heat travels through the water to reach the ice more easily than it goes through the air.
Thereby, the ice put into water will melt faster than left in the air.