It's hygroscopic, meaning it absorbs moisture. Coffee, sugar, table salt, caramel... they are all hygroscopic too.
It seems pretty common advice around here to encourage drinking more water when you're vaping. I know I feel thirstier because the e-juice definitely lends to a feeling of dry mouth and throat at times. I'm not sure of how dehydrating ejuice truly is though... especially compared to other things we consume that can also contribute to dehydration (like coffee, soda, salt, and even tobacco-cigarettes).