The "state of liquidity" is nothing special. All molecular compounds will have a liquid state, as they will also have a solid and gas state as well. We can think of the states of matter as a competition between intermolecular forces (the forces which cause molecules to attract eachother) and thermal energy. When intermolecular forces are stronger than thermal energy, the molecules are attracted to eachother and stick forming solids (when the intermolecular forces are very strong) or liquids (when the intermolecular forces are relatively weak). On the other hand, in the gas phase, thermal energy is much stronger than the intermolecular forces so molecules interact minimally.
Water, which has fairly strong intermolecular forces due to it's permanent dipole (see previous post), exists as a liquid at room temperature because its intermolecular forces are strong enough to keep water molecules stuck to eachother at temperatures of up to 100C. Oxygen gas and hydrogen gas, on the other hand, exist as gasses at room temperature because their intermolecular forces are extremely weak and thermal energy easily separates molecules of oxygen and hydrogen. In order to produce liquid oxygen or hydrogen, one must reduce thermal energy until it becomes too weak to break the intermolecular attractions between oxygen or hydrogen molecules. This occurs at very low temperatures when there is little thermal energy.
But basically, you cannot compare hydrogen and oxygen to water because these are all separate compounds with completely different properties. By analogy, consider a cake. A cake is made from flour, eggs, baking powder, etc, yet it retains none of the properties of those materials. While I would gladly eat cake, I would not want to eat a mixture of flour, raw eggs, and baking powder. Similarly, water may be made from hydrogen gas and oxygen gas, but that does not necessarily mean that it retains the properties of hydrogen gas and oxygen gas.
After all, there are alternate routes to the synthesis of water. Water can be produced in the reaction of an alcohol and organic acid. Does this mean that water retains the properties of these materials also? No.