The water spider Argyroneta aquatica (Clerck) is the only spider that spends its whole life under water. Water spiders keep an air bubble around their body for breathing and build under-water air bells, which they use for shelter and raising offspring, digesting and consuming prey, moulting, depositing eggs and sperm, and copulating. It is unclear whether these bells are an important oxygen reservoir for breathing under water, or whether they serve mainly to create water-free space for feeding and reproduction. In this study, we manipulated the composition of the gas inside the bell of female water spiders to test whether they monitor the quality of this gas, and replenish oxygen if required. We exchanged the entire gas in the bell either with pure O2, pure CO2, or with ambient air as control, and monitored behavioural responses. The test spiders surfaced and replenished air more often in the CO2 treatment than in the O2 treatment, and they increased bell building behaviour. In addition to active oxygen regulation, they monitored and adjusted the bells by adding silk. These results show that water spiders use the air bell as an oxygen reservoir, and that it functions as an external lung, which renders it essential for living under water permanently. A. aquatica is the only animal that collects, transports, and stores air, and monitors its property for breathing, which is an adaptive response of a terrestrial animal to the colonization of an aquatic habitat.