I think horses are monster enough, but I think their consistent association with water and the ocean is because their sweat foams with friction.
Ancient people didn’t exactly have bubble baths and dishwashing detergent to compare to, so the thing that looks most like these foaming, wet, working horses is probably just sea foam.
So logically, that must be what these creatures are made from. And then the story just gets adapted to the local landscape over time.