Matter is made up from point like fundamental particles, like electrons and quarks, that have zero volume. This puts us in the interesting position where the true volume of all matter is zero, and the only reason that everything doesn't instantly collapse into a point of zero volume is that the pointlike fundamental particles maintain a finite distance from each other due to a variety of forces. For example in a hydrogen atom the uncertainty principle restricts how close together the electron and proton can get. You can compress a hydrogen atom, but it costs energy so there will be a repulsive force resisting the compression. Similarly if you try and squeeze two hydrogen atoms together the exchange force resists you.
The point of this rather abstruse discussion is that for a system to be incompressible the force between pairs of fundamental particles would have to become infinite. For any finite force the particles can be squeezed together, and therefore the system can be compressed. No such infinite forces are known in nature, and therefore there is no such thing as a fundamentally incompressible system.
The compressibility of macroscopic systems like water is the reciprocal of the bulk modulus, which for water is about 2.2 GPa. This is high compared to readily compressible systems like gases, but low compared to steel at 160 Gpa and diamond at 443 GPa. So compared to steel and diamond water is actually quite compressible.
I think diamond has the highest known bulk modulus of normal solids. I'd imagine more esoteric states of matter like degenerate matter would have a (much) higher bulk modulus, but it would still not be incompressible.