Monkeys are able to clip through 1 area impassable terrain. This applies to stone walls and portions of the game where the sea is one block from the sand.
To discover areas that monkeys can clip on to water attempt to build a wall and the areas where you can build walls "on top" of the water are areas where the monkeys can get through.
It's pretty funny in this picture the monkey looks kind of on land but I was able to chase him around on the water for a while.
ANOTHER: This might be intended, but when Wilbur examines a stone wall he says "I can fix this" along with his monkey Oooa speech. I haven't played wes so I can't say wether this is actually a bug or not so I attached it to a more obvious one.
Have monkeys so they want to get somewhere and the shortest distance is through water Get the monkeys to fight( This is the easiest way for them to use their teleportation) Monkeys can also clip through normal stone walls that are less than an area of 2 thick.