Some people like the sound of running water because it helps them relax. For others, it creates a strong urge to urinate. This is no coincidence and it happens more commonly than you think -- all thanks to the power of suggestion.
Suggestion is a subtle force that can influence our behaviour, how we perceive things and how we act later. In regards to needing to pee, this SciShow video explains the obvious: running water simply sounds a lot like urination.
And over a lifetime of performing the same bathroom ritual -- peeing, hearing the sound, flushing the toilet, and (hopefully) washing your hands after -- you associate many bathroom sounds with peeing.
And now that you've read this, you probably can't not think about running water and likely want to pee now. You're welcome.