Coagie,
The 40kHz is an electromagnetic wave. Humans (and dogs) can't hear electromagnetic waves directly. We (and dogs) hear sound pressure waves, which dogs can hear at 40kHz but us humans can't.
The electromagnet (radio) wave is made audible for us by electronics. That is why they listen for it with a radio receiver. 40kHz does travel through water, but not very well. However, it also depends on how sensitive your radio receiver is, as well as a host of other things.