Wind near bodies of water is primarily a thermal event (closely related to this answer ).

Water has a very high heat capacity (i.e., it takes a lot of energy to make it change temperature), higher than the adjacent land. This means that the land heats up faster than the water, and the air above the land heats up faster than the air above the water. The density of the air above the land decreases as it warms, so it rises and the cooler air above the water moves in (i.e., the wind blows from the water to the land). At night, the land cools faster than the water and the wind blows in the opposite direction.

Winds can also be stronger near the shore because the ocean doesn't have anything to block the movement of the air like the trees, buildings, etc.,that exist on land.

The sea is mostly flat, with the result that there is nothing to stop the wind. It is windy on mountain tops for the same reason. Valleys are less windy because the surrounding mountains stop wind, and forests are really less windy because trees stop wind.