Assuming the outer surface isn't very strong and is permeable. Water would flow via diffusion from an area of "high" water concentration to that of "low" water concentration. Hence rapidly filling the bubble and bursting it. Lookup osmosis if you're interested. As for this species, can't say I like it. I'm not a huge fan of cutesy creatures. EDIT: I should add, seeing as this species already exists underwater and "bursts" when it comes into contact with a player I'm assuming that means some measure of force is involved and that its outer surface is fairly weak. It wouldn't be so much an issue of low water concentration within its body as it is just not being capable of sustaining a direct impact. Chances are this creature would need to live relatively close to the surface otherwise water pressure would threaten to kill it.
What I was thinking personally, is in fairly shallow water, they are bigger, but cannot go as deep, because they will indeed burst from the pressure, but the deeper they go, the smaller they get. With one exception. If you get fairly deep down, you'll find ones double the size of the ones near the surface, and they have multiple sets of eyes. I'm thinkin' the eyes would be some kinda alien tech, left in the oceans a while ago.
RACE IDEIA Actually nope, they are many suggestions and even if the NOVAKID got into the game, I don't think others will too.