I kind of wondered the same thing in the past, but the other day I read an LA Times article that illustrated the extent of the problem of water loss (not particularly related to data centers although we know they contribute to it). The main problem with evaporating water seems to be that it was water that we could have used which ended up in the ocean instead.

latimes.com/…/global-drying-groundwater-depletion

I infer that evaporation is worse than flushing it down the drain, so to speak, because if it were flushed you would at least be able to treat and recover much of it using much less energy than recovering it from the ocean. So it sounds like evaporation is largely (but obviously not completely) a one-way street, especially in arid regions, since only a tiny portion of the evaporated water would come back there as rain.