Why is it so windy by the ocean?

Its because of the difference in temperature, which leads to a difference in air pressure.

Land heats and cools much faster than water. During the day over land there is relatively low pressure, so winds blow in from the sea. At night, the land has relative high pressure so the winds blow out to sea.

lack of hills, trees, mountains, and other natural windbreaks have something to do with it too.