I've heard that some stones are 'pre-oiled' from the factory. Such stones are generally made to be used as oilstones. Sounds like yours might be such a stone. Preferences are changing, among sharpening experts, about using oil on stones. The down side is, once the stone is oiled, it's very difficult to make it totally clean again. Over time, oilstones will also grab & hold onto much of the metal removed from knives, and will eventually 'clog' up, filling the pores of the stone. Some people actually 'boil' the stone in hot water and/or soap/detergent, to force as much oil out of the stone as possible.
You can still use your stone with water if you like. Many like to add some dish soap (just a little bit) to it too, which will break the surface tension and allow the moisture to more evenly coat the stone. It's also easier to clean up the stone afterwards. This is a popular method with diamond hones, too.
True waterstones are designed and intended to be used with water. They do absorb a lot of it, and many people actually store them in water, to keep them saturated.