That's my thought, too. When I order water, it's almost like a declaration of a lifestyle - I choose to be fit, to stay healthy, and not to drink any of the substances that are an obstacle on my way.
I guess it's a question of company. If most of your friends order water, you feel a bit guilty ordering something less healthy.
I think that might be why it bothers people who some people do drink when you order water: they see it as you somehow saying that you're better than them by declaring your health lifestyle
Most of my friends are also healthy individuals and will also order water though, so maybe it's dependent on who your "friends" are.