Actually, water has one of the thermal transfer properties known, it has a very high heat capacity (4.18J/K/cm^3), so is pretty much ideal. However the problems with deionised water are:
1). It is only deionised until you get dust/anything else in your loop. This includes ions metal from the radiator, block or pump. Then we have conduction
2). If you have anything in the loop that is not the same metal (e.g. aluminium radiator and copper block), the water will conduct a small charge, which will liberate ions from one and deposit them on the other. So you will find your copper block being aluminium plated or vice versa (would need to check the relative electrochemical stabilities).
3). Deionised water has nothing to kill bacteria like tap water does. So algae etc. get in there and colonise. Yay for green pipes.
Premixed coolant has biocide and corrosion inhibitor in (often the same thing, ethylene glycol - antifreeze), which lowers the dielectric constant of water and prevents algae growing. It also tends to look nicer.
Additionally water is a (very poor) conductor, it will self ionise at 10^-14, hence the concentration of [H+] ions in pure water is 10^-7, which gives us the neutral pH of 7. But the last point is by the by because the impurities even in deionised water will exceed the self ionisation by probably a million times.
