The water could be escaping internally (assuming there is no water inside the car from a duff heater matrix and none in the engine bay from water pipes etc.).
This means, in effect, that you might have a blown head gasket.  The water then goes into either the oil or the combustion chamber, or both.  Water in oil will create a "mayonnaise" which can be seen under the oil filler cap or on the dipstick.  Water escaping into the combustion chamber would create quite a bit of steam from the exhaust.  Whilst steam in the exhaust is normal on cold days, excessive amounts are not.
Only way to know for sure is a compression test.  This involves fitting a compression tester to each plug hole in turn and turning the engine over to check the compression.  A low reading in comparison with the others indicates a blown head gasket on that cylinder.  Compression testers cost about £15 - £20.
New head gasket fitment could be about £100 assuming the head is not warped and does not need skimming.
                
 Jack
                
 July 2004