NASA
New research from Caltech and JPL reveals that indeed part of Mars's water went to space. But if you count total amount of water Mars had (it could roughly cover the whole Mars up to 1,500 m deep above the surface), it's becoming highly unlikely that all of the planet's water became a victim to space.
So where did the water go and how did it do that?
So water is made up of hydrogen and oxygen: H2O. But the hydrogen molecules are not always the same. There are so called "heavy" hydrogen molecules and "lighter" weight hydrogen molecules. The latter escaped to space. The former went to the planet's crust.
Why the water made up of lighter hydrogen molecules escaped to space anyway?
Mars has lower gravity than Earth, so things (and water molecules too) don't stick to the planet as strong as they do on our planet.