This is a very good question.
One respondent expressed the notion that this phenomena could have its source in evil. This is a possibility, albeit a very remote one. In the time of Jesus there was a common belief that miracles could be performed by evil. Jesus, Himself, was accused of performing miracles through evil means. This lead Him to issue a general warning about the “unforgivable” sin–blasphemy of the Holy Spirit. Jesus, and others, also cautioned us about the end days where evil can emerge as from an angel of light, and that many will perform marvelous things to try to redirect the attention of the faithful away from God.
While this may be interesting, I doubt that this magician’s tricks are anything but an illusion.
As another mentioned, shills are often planted in audiences. Some shills are paid professionals and others (e.g., trusted amateurs) are simply paid to keep their mouths shut about the trick. A really superb illusion can actually make use of random participants from the audience.
How are illusions possible? There are many ways, and illusionists spend days, weeks, and sometimes years practicing and honing their illusions. In our physical reality there are many phenomena which can be harnessed, including magnetism, optical effects, “smoke and mirrors,” quantum effects, holographs, sleight of hand, psychological methods, diversion of attention, and many others.
I can only conjecture, but this particular illusion can take advantage of the different densities of matter. Water weighs approximately 10 pounds per gallon. A vacuum weighs nothing and is super buoyant. Somewhere in between are materials which are buoyant to some degree. Also, a piece of flat material is enough to hold an enormous amount of weight. Just look at the little flat boards used by people at the beach to skim across the shallow water. Now, consider the possibility of transparent, flat sheets of very light plastic attached to the feet. A very practiced illusionist may be able to use such a contraption to give the appearance of walking across water. If you add tiny little holes with clear, plastic one-way valves in the device, all one would have to do is make a walking motion to very easily stay “suspended” an inch or so below the water. If the illusionist is practiced enough, he or she could also slip one “board” off and, for a few moments, lift one foot out of the water. This would be a great finale. This is just one of many possible conjectures.