In short, you can, but it is probably not necessary.
When you are in the water, your body is essentially weightless and there is already pressure on your legs from the water. Wearing compression sleeves or socks would only serve to increase the pressure, and this is not necessary. In addition, although some sleeves or socks are made to be in the water, the chlorine in a pool is very harsh on compression socks and will break down natural fibers quickly. Synthetic materials such as nylon are a little more durable but will also break down over time. If you decide to use compression in water it is best to just dedicate one pair for that and wash thoroughly as soon as you get out of the water. Sea water is different and not as harsh on the compression socks or sleeves, but the garments must be washed immediately and thoroughly after each use.
The garments that are best made for use in water are the Sigvaris Performance sleeves or the CEP Allsports sleeves, both of which have been designed for triathlon athletes. These sleeves are excellent in keeping the lactic acid from building up in the calf muscle. So while swimming or water aerobics these sleeves would be beneficial. Try them out and see how it works for you. If you find that it helps in the water, let us know! We love to get feedback.