Water is an exhaust product of combustion. This happens when hydrogen in the fuel bonds with oxygen in the air. The other main exhausts are nitrogen gas and carbon dioxide. Don't worry, water is part of your normal exhaust.
When the exhaust system is cold, the water vapor by product condenses to water, which you see when the engine is cold. As the exhaust system heats up, the water vapor exits as water vapor so it's not visible.