Oxygen is the bed rock of combustion, so any liquid that burn, has the ability of combining with oxygen in the air.
That is why oil burn, and water can't burn.
In another explanation given by Mahendra Nandanwar on Quora.
Everything in nature tries to attend stability. This is a law of nature.
Now, burning, by definition, is a chemical reaction of something with oxygen. That means that thing is reacting with oxygen. Now some liquids like petrol/diesel/kerosene will burn (or react with oxygen) as they contains carbon and hydrogen in them. By reacting with oxygen (burning), these carbon and hydrogen form more stable compounds (carbon dioxide and water). So it is favorable (by the nature’s law) for this liquids to burn.
Some liquids do not burn. For example water. Water also contains hydrogen in it. But water molecule is already stable so it does not react further with oxygen.NaijaBlog.ng