Ocean, but no devil fruit user can swim in fresh water either. Not that there was a lot of fresh water in my world.

But this is why most pirates rely on crews. No pirate captain can do everything himself. Make no mistake though, most pirates do have a death wish. It's very rare for any of them to reach and old age and most of them die from the natural hazards of the ocean; storms, starvation, illness and not from the marines.