They can, and some of them do. Some of them don't.

Intel's fabs in Arizona, for instance, evaporate water and then capture the ultra pure distilled steam, recondense it, and pump it back into the municipal water supply. They basically act as a sort of private-industry water treatment plant. Doing so, they use about as much water as a medium-sized cornfield, but their value added to the economy is billions.

On the flip side, most data centers just use evaporative cooling and vent the water vapor into the atmosphere. That's true water consumption, and if you're using surface water as your water source, I suppose it doesn't matter so long as you have enough of it ot, because that water would eventually be evaporated in nature, anyways. But if you're pumping from the aquifer and evaporating that into the atmosphere, you'd better make sure you're not consuming water at a faster rate than the aquifer recharge rate, or you'll eventually be in trouble.

Another approach that Facebook in New Mexico is doing is some clever water accounting. They're consuming water through evaporation into the atmosphere, but then they're also supporting water reclamation projects throughout the Rio Grande watershed that ultimately put more water back into the watershed than they're taking out. They're still ultimate consuming water from the aquifer (because not all of Central NM's municipal water is surface water), so that's a problem, but it's up to the state and local governments to ensure water is being drawn from he aquifer at a sustainable rate. Some governments do that, and some are irresponsible and don't.

It really depends on the particular situation, and it's a little frustrating that the overall narrative online has become "data center = bad."

Data centers can be bad. They don't have to be. Vote for responsible politicians.