Yes and no. Water is a combination of one oxygen atom and two hydrogen. It is stable in one of three forms. Depending upon the pressure and temperature of the environment in which you find it. Water will either be a solid (ice), a liquid (which is how we usually encounter it on Earth), or a gas (vapor or steam).
In Mars, the atmospheric pressure is too low for water to exist as a liquid on the surface. It will be in the form of ice. If you heat it up, it will not melt, it will sublimate. That is it turns into a gas without turning into a liquid first. So there is water vapor in the Martian atmosphere, just not very much.
Water can completely disappear if you break it up into it's different components. High energy solar particles striking water molecules can break the oxygen and hydrogen bonds. Once the molucule is broken up, it ceases to exist as water and becomes a collection of elements.
Mars does not have a magnetic field like the Earth. Incoming solar radiation can strike water molecules in the upper Martian atmosphere and destroy it.
So yes, water usually just changes form. However, given the right conditions you can make it disappear as well.