Why is gas (air) not used instead of liquid (water) in pumps like hydraulic pumps? Given that Both gases and liquids can't be compressed less than their volumes like solids. I kinda know that bursting of compressed air is more devastating than that of water. 
But are there any other specific reason for this?
Why are only liquids used in pumps(hydraulic pumps)?
Why not use gas instead of liquid in those pumps?
 A: Gas is compressible according to $$PV/T=k$$ so if you push it hard it doesn't transfer all the work to another location, it  gets smaller and hotter. The pressure does go up which can result in some (remote) work being done, but the thermal losses are large.
Liquids are completely uncompressible for the purposes of every day applications. (but not in extreme physics)
A: It's completely unclear what you are talking about. If it is pumps, well, if you need to pump gases, then that's what you pump. If you need to pump liquids, you pump liquids. 
If, on the other hand, you are talking about fluid power devices in general, then there is machinery that relies on pumping gases; that's called pneumatics, versus hydraulic devices that pump liquids. 
Hydraulic devices are preferred when large forces need to be generated in compact machines, meaning you need very high pressure differences. Designing such machines to work with gases would be impractical due to the compressibility effects of gases, which make the travel of pistons, say, highly dependent on the required force.
A: A gas is not used in hydraulic machines as the fluid because gas is easily compressible and so if a gas is used, the energy would mostly go into compressing a gas. Therefore a liquid is used in hydraulic machines as the fluid.
