We know that the refractive index of a medium is defined in terms of the refractive index of the medium from which it emerges so we need to understand that the convex lens acts the way it does as it has higher refractive index than air but if the refractive index of  the medium is higher than the refractive index of material of lens , than definitely it will behave as a concave lens .

You can even confirm this through Snells law as the light will bend toward normal when it travels from rarer to denser medium , but the opposite happens if we it moves from denser to rarer . So the second case comes into play in our example , so the convex lens will act as a concave lens in medium with higher refractive index than water.