Because you’re talking about a structure, not a homogenous material of a single state.
If you take something like foam rubber, it’s a material that contains both solids and gasses. The rubber is a solid and provides a flexible structure. The gas trapped inside that rubber is a highly compressible gas. If you “compress” it, you’re compressing the gas, but the solid component is mostly just changing it’s shape not reducing its volume.
This is different than say, just a chunk of solid rubber, which can bend and deform but won’t readily compress.
Liquids are a bit strange because although they will change shape (they’re fluid) they are very hard to compress. This seems odd to us: normally we think of things that will change shape as soft, squishy, squashable, elastic. But really there are different properties that don’t always go together. It’s also weird that as matter changes from solid to liquid to gas it goes: compressible >> incompressible >> even more compressible.
For example, think of a water balloon. If you squeeze that it’ll squish, right? But you’re not actually compressing the water, you’re just changing the shape. It still takes up the same volume. If you applied pressure from all sides you’d find the water extremely hard to compress.
Rubber does something similar: it’s flexible, so usually when you squash it you’re only actually compressing it a bit. However solid is still much more compressible than water – about 1000 times easier to compress (if I’m reading [this](https://www.ncbi.nlm.nih.gov/pmc/articles/PMC5327686/#:~:text=The%20compressibility%20of%20unvulcanized%20natural,of%20500%20kg%2Fcm2.) right).
And it’s not just rubber. If you compare water with metals, metals are mostly about 100 to 1000 times easier to compress than water (if I’m reading [this](https://www.jstor.org/stable/20025987?seq=49) right to compare it to the figure for water [here](https://en.wikipedia.org/wiki/Compressibility)).
Now as to the question *why* both solids and gases can be compressed but liquids can’t, I don’t know the answer to that.
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