"not necessarily, while its obviously true that water has a much higher resistance there is also the fact that when you fire in the air the harpoon will be yanked down by gravity and hit the ground alot quicker then it would if it were going through water. "
There are only two differences involving gravity. One is that the viscosity of the water slows things down more rapidly than air, so the harpoon will fall down in the water slightly slower. But the impact of that might be the same as the original question - if viscosity is slowing vertical motion, it also is slowing horizontal motion, and the net impact on distance travelled until it hits the ocean floor, ground, or whatever might not change much by this factor.
The other is the buoyancy. Archimedes' Principle says the net downward force acting on the harpoon is is mass times gravity, etc (its "weight"), minus the weight of the volume of fluid it displaces. So if the harpoon is deliberately engineered to have a low weight to volume ratio, the reduced apparent "weight" will mean it sinks vertially in water more slowly than in air. However, I really doubt anyone would design such a harpoon. After all, the usual idea is to make it really strong so that it can penetrate a target animal. At the same time you'd try to design for minimum diameter to reduce viscous drag, so I'd expect the shaft to be a solid rod, not a hollow tube.
I'm thinking this way: harpoon is shot out on a horizontal path in air at a certain distance above ground and a known initial velocity. The effect of air viscosity is small, so for a first approximation we assume the frictional loss of speed is zero, and treat it like the ideal situation in a vacuum. We would calculate the time taken for the harpoon with an initial VERTICAL velocity of zero to accelerate by gravity and fall to the ground. That's the flight time. That time, times initial (and unchanging) horizontal velocity determines the horizontal distance flown.
Now do this again in water, where the frictional forces from water do have a significant effect on velocity over time. Those forces both slow the vertical acceleration of falling and the horizontal velocity. The unknown here is the impacts of harpoon design on these two motions. I expect the design is optimized to reduce the impact of viscosity (friction) on the horizontal forward motion of the harpoon (ie, along its azis). But I doubt anyone worries a lot about minimizing frictional drag in the vertical direction (perpendicular to the harpoon axis). So just maybe the effects of water viscosity are different enough that the harpoon could actually travel further in water than in air, even though it will take longer in flight because the velocity is constantly decreasing.
So, my prediction: I don't know. Any harpoon designers out there who do?