Well, it's true that water has zero calories and is neutral tasting. It's not filling to any degree, and milk will give you a lot more of what your body needs.
Water is great for hydration without filling you otherwise. Like, say you need to drink a lot of fluid because you are really active, you would probably get sick of milk pretty quickly.
But anyway, in most cases, the fact that drinking milk doubles as a source of food is clearly a benefit. It's hard to explain a common behavior by reference to a rare circumstance.
The idea of sports drinks is that you can drink them without getting water poisoning. This is only a concern if you need a lot of water because you've been sweating a lot, but I thought that was the scenario you were pointing to.