[TeMPOraL]

Lots of answers already, but let me contribute this little heuristic:

Radio waves, being EM radiation, are just light - like "visible light", except our eyes can't see it. There are some peculiarities related to wavelengths (particularly when they get very large, or close to the size of a regular surface pattern of an illuminated object), but to a good approximation, you can mentally replace "radio antenna" with "a lightbulb", and make correct determinations about how radio behaves.

In this case: much like you can't see much in water, compared to air, and a submerged flashlight also doesn't shine very far, a submerged phone has a hard time seeing signals, and its emissions don't travel far either.