Lipids are insoluble in water because they are nonpolar, and water is a polar molecule. Nonpolar substances are insoluble in polar substances, and polar substances are insoluble in nonpolar substances.
The effect of mixing polar and nonpolar liquids is similar to mixing magnetized marbles with regular ones. The magnetized marbles do not actively exclude the normal ones, but the attraction between them is much stronger, which means they naturally come together and exclude the regular ones. Polar molecules, such as water, have a "dipole moment" that give them an unevenly distributed charge. Negative ends of polar molecules are attracted weakly to positive ends of other polar molecules. Nonpolar molecules lack this uneven distribution of charge.