Someone who's at sea is completely lost or deeply confused. When you're giving a speech, the last thing you want is to appear to be at sea, stumbling over your words and losing your place.
If you suspected that your state government was at sea, you'd have a sinking feeling that no one in the state house knew what they were doing. Likewise, if you're at sea in your advanced Italian class, you might want to move into the intermediate group. The phrase at sea — or all at sea — has a nautical source: before modern navigational systems, when a ship was at sea, it was out of sight of land and therefore in a dangerous, uncertain position.