You need to look at the character and motivations of the Mughals, and then the motivations of why someone would want to build a navy. The Mughals were, and saw themselves as Turko-Mongols, heir to the Eurasian land based empires like that of Genghis Khan and Timur. With India, they had one of the world's preeminent centres of wealth, and thus conquering, and then controlling India was their primary focus. Though Aurangzeb managed to gain control of nearly all of India, soon after his death new threats arose from within India (e.g. Marathas) and from outside (Persia). Speaking of Persia, this (as well as areas like Afghanistan) was their largest foreign threat throughout the period, with several wars between the two in the 17th and 18th century. So basically, the biggest opportunities for, and threats to the Mughals, were land based.

In hindsight we can see that through expanding naval power and thus controlling the oceans, European states were able to build up huge amounts of wealth and power. However at the time of the Mughals, ocean trade was not as central to power as it would later become. The great land empires of the Mongols and their descendants, that the Mughals saw as their predecessors, had been the model for great empires for hundreds of years. Countries that did build navies had specific reasons for doing so. States like those on the Atlantic seaboard of Europe built navies as it was the best way they could find to continue their crusade against Muslims, and to increase their trade and contacts with the centers of wealth in the world, in India and China. These countries had no option of massive overland expansion. The Ottomans built a navy because their empire contained parts of the Mediterranean, black sea, and needed to be defended from aggressive naval powers like the Spanish and Venetians. Oman became a naval power in the 17th century because it had interests in the east African slave trade.

None of these concerns were really relevant to the Mughals, whos main preoccupation was conquering and controlling the vastly wealthy Indian subcontinent. European navies were never really a threat to the Mughals on the level of their land based threats, though they were powerful enough at sea that attempting to unseat them from their dominant role here would have been difficult. Nor were naval powers very relevant in the Mughals' decline, in which Nader Shah and the Marathas, for example, played a larger role. Britain however was able to take advantage of this decline.