Whenever you harvest the fruits and veggies you take water out of the system. You also lose water due to evaporation and people coming/going from the greenhouse. So while you may be a lot more water efficient in a greenhouse you're still a consumer of water.

Furthermore, I am thinking of places like Canada (where I live) that get very little sunlight in the winter, despite having incredible abundance of fresh water. We could grow a lot of vegetables in the winter and power the artificial lighting using wind, hydroelectricity, or nuclear. This would allow us to avoid importing so many vegetables from California or Mexico.