Here is me talking out of my @$$.
Water is 800 times denser than air. In order for a bullet to travel through water very far, it must be stable. So it must be a [b]LOT[/b] more stable than is actually is.
In reality, a bullet couldn't be stabilied that much, it would fly apart. Therefore, when a bullet hits water, it destabilizes instantly, and slows down very fast due to water resistance. This probably explains the small penetration depth, and the relatively weak penetration with pine blocks.
Ask Tatjana... She could tell you for sure!