Why water is an excellent coolant?

Water has a high heat capacity compared to other substances. Heat capacity is the amount of heat energy required to raise the temperature of the material by 1 Degree Celsius. Water has high heat capacity, meaning it can store lots of heat before its temperature rises, hence making it an excellent coolant.

Oil on the other hand, has a much lower heat capacity, meaning it only requires a lesser amount of heat to raise its temperature, hence is cannot store large amounts of heat.

The idea of a good coolant is that it can store large amounts of heat without its temperature increasing.

It is NOT an excellent coolant, it is a good coolant, there are many better, if you are talking internal combustion engines. It is a good coolant and cheap, however for applications such as power plants it remains a coolant of choice - cheap and abundant, and requiring only minimal anti corrosion treatment. The answer to your question lies in specific heat, the heat transfer coefficient and the fact you can have a pressurized cooling system - you can thus elevate its boiling point rather easily.

Every material takes a different amount of heat to heat it. Water takes a lot of heat so it takes longer to heat or cool down. Water can therefore absorb a lot of heat

because it takes so much energy to heat water, due to it's specific heat capacity.

to heat 1 litre of water by 1C it takes 4180 joules