Imagine a sentient species with these attributes:
The specimen are amphibious and can live on surface as well. They have no larval stage, their children are water-breathing from birth. In a Earth-like world, what reasons could they have to build coastal (but not underwater) villages?
One word: fire. Cooking and metalworking are the first two things that pop into my mind that are made easier, if not possible, on land. While you could argue that neither is necessary for an aquatic species, neither is necessary for terrestrial species either, but have certainly benefited the human race.
First of all, you may want to think about why they would be amphibious in the first place if they do not require land at all. For example, you could imagine that a sea dwelling race may evolve amphibious behaviour if there were dangerous oceanic predators. They may stop short of fully land based adaptions if their lifecycle is linked too much to the sea, or if there are also land based predators (keeps your options open!) or even if they just haven't. Evolution is not a race to the land of course!
So here's a suggestion based on that - population pressure.
A community of merfrogs lives in a deep fjord. It's a good life, food is abundant in the cold waters and the town is growing into a small city.
However, the deep water beyond the mouth of the fjord teems with megasharks and killwhales, and so the merfrogs have built a strong barrier across it.
Where else to go but land?
The first thing that came to mind is that they're a nomadic species that hunts/follows seals.
Seals have a pretty strange life. They swim for an awful lot of their lives (dependant on species), then spend months shacked up on beaches on remote islands as they breed, fight for the right to breed, and raise children. If your aquatic species feed not only on fish but also organise to hunt the larger and more aggressive seals (similar to Neolithic hunters attacking powerful bison or mammoth), then it makes natural sense for them to establish temporary shelters inland when the seals are in their breeding season. It gives them an opportunity to hunt seals without being at a massive disadvantage!
They wouldn't build these cities underwater because underwater a single seal could cause massive havoc, killing unprotected merfrogs (sorry Whelkaholism, that name was too good not to steal) and generally wrecking the joint. Above the water the merfrogs have the advantage of being able to co-ordinate more easily (the seals can only move in two directions) and also gather nearby materials (wood, stones) with which to attack their now lumbering prey.
Of course, once the seals return to the water this species does too, moving back into the shallows where it's more comfortable. Their lives would become a cycle of seasonal migration from land to water, and they would have to be in tune with the seal population to some extent in order to avoid overhunting. Quite the peaceful life (in a brutal sort of way).
Of course once the European merfrogs (with their domesticated snail padded diets) turn up all bets are off.
Trade outposts with land races
Trade is an important reason that different civilizations deal with each other. The land races would obviously have a better command of fire and metalworking techniques that are impossible underwater, and therefore will be able to produce tools and materials that the amphibians cannot make. Metal hooks and tools would be in great demand by the amphibians.
Similarly, the amphibians would be able to harness their abilities to develop aquaculture far better than the land races can. They would be able to farm aquatic products (such as the iodine rich seaweed) required for most life on Earth as well as this world.
Once enough technologies have been transferred, the amphibians would probably go ahead and start learning metal smithing and cooking.
Because their complex, sentient brains require a sleep phase which is too disabling for them to survive underwater. They need the rich oxygen of air to sustain them when they're not actively swimming, or they're too vulnerable to predators and building a defensive structure underwater would be difficult because of the relative strength of wave/tide motion.
If the land is not already populated by other civilizations, your hypothetical civilization would likely develop outposts, then cities, that would grow up around whatever inland resources they found valuable.
You see this behavior among real-world humans as well: it's fairly safe to say that few of the prospectors who moved to Alaska really wanted to live in such a hostile environment—even though it's beautiful. The presence of valuable gold and oil was enough to sustain a settlement, even though most of the settlers probably found it a less naturally pleasant place to live than wherever they came from.
These settlers then create a need for secondary and tertiary services, and you quickly end up with a small town. The show Deadwood is a fairly realistic look at the economics of how a group of men who moved to a spot where there was gold led to the creation of entire cities during the westward expansion of America.
Even resources like oil & minerals that can be mined underwater would still be mined on dry land once the easiest underwater deposits were claimed or exhausted. Humans do rather badly underwater, but we do quite a bit of underwater mining and drilling. Where there's money to be made, there will be people who will follow.
Amphibious - relating to, living in, or suited for both land and water.
So this would imply they do spend time out of water. Many frogs actually spend most of their adult life out of the water, though they do need water to procreate.
So being amphibians suggests that they would build their homes on land, near water or even better a stilt house:
Where they have access to everything. Could even 'protect' lagoons or small bays in order to raise their young.
Building materials might be more easily collected out of the water, and many building materials other than stone, don't really like water.
It might also help keep land/air based predators away from their 'fisheries' or 'nurseries'.
Nesting.
Your creature has reached a key stage in its evolutionary development. It has advanced from digging a hole on the beach, laying its eggs, and trusting to fate. Its instincts now compel it to protect and nourish the valuable next generation, and even provide some rudimentary parental care after hatching. The next step after that is to build structures around the nest site, and further to engage in cooperative behavior in ensuring shelter for the nest site and feeding of the hatchlings.
Fire already having been covered, I'm going to pick a secondary but important factor.
Under deep water storms just roll over and pass you by, even the mighty tsunamis are just a ripple on the surface, but once you get into shallower waters all hell breaks loose, and the destructive power of water comes into its own.
This means that if a tribe moves into shallow waters for any reason, they'd be better off carrying on up and building on land instead.
Stratification and Castes
There are two ways you could go about this depending on your setting and purposes.
The rich live in the water as a sign of prestige, where it's more expensive to build but they're rich so can do so, whereas the poor, exiles, and lower-castes merfrogs are pushed onto land.
Alternatively, since shelter is likely less of a need underwater, maybe only the rich can afford to live on land, while the pariahs and down-trodden are forced to eke out an existence in the waters nearby, sifting through the trash the Royals toss into the water and making do when there are vicious tides or migrations of dangerous fish.
Either situation will lead to a diversity of culture within the race which will make it seem more believable in your fiction. Plus, if you've got two geographically separated groups of merfrogs where the norm is each of the differing options above (or even one of the options from one of the other answers) the "foreigner" merfrog's reaction could be quite interesting.
Since this is a world populated by land-based sapient races, it stands to reason that there would be desire for trade between them. After all, there are probably some goods that your sea-folk can obtain easily which would be highly prized among land-dwellers (pearls, corals, exotic deep-sea fish). Since terrestrial creatures can't go underwater but amphibious creatures can live on land, any amphibious entrepreneurs looking to peddle their wares would probably set up trade booths on the coasts.
Where there is trading of goods, there is also trading of technologies.
While I would think that a primarily aquatic race would probably not invent fire or metalworking on their own, there's a good chance they would see the other races with their cooked food and their shiny forged metal swords, and decide they want the same privileges for themselves. Since fire doesn't work too well underwater, they would need to set up land-based kitchens and forges, probably alongside the trading booths.
With these trading booths being set up, you're going to need someone to guard your wares from folks who don't feel like paying for them. That means hiring guards. If you hire guards from terrestrial races (maybe by promising them wages of something valuable you don't keep in the storehouses), you're also going to need to set up some land-based dwellings for them to relax while they're off-duty. You're going to want to set up some crude walls or fences as well.
So your land-based villages would probably consist mainly of trading booths, storehouses, firepits, and guard houses. The race's relationship with land-based species would probably be highly trade-oriented, which makes things even more interesting if there is maritime trade between continents. Maybe the amphibians will demand a tax for safe passage through their waters, and punish those who shirk on their payment by poking holes in their ships or siccing sea monsters on them, and stealing the wares from the sunken vessels for resale on their own terms.
Agriculture, Growing plants on land is easier due to more light. Similarly they may have a taste for land based animals or plants then they will build farms on land.
Wood, wood grows in trees, trees grow on land.
Mills, if they develop technology they will want to build windmills or water mills as this would be simpler than tidal generators.
Transport and trade. two coastal settlements whether they are in the water or on the land would benefit from moving onto the land before transporting goods, heavy goods may be easier to put in a ship, however moving across land by foot is much faster than swimming. particularity if they want to cut across land are are fighting against the tide. Settlements will form on the coast and in land as midway point for travelers to rest.
The best reason I can think of is ease of construction. Building buildings on land is hard enough. Making buildings underwater is much harder, since moving bulky materials is harder, the materials need to be able to withstand water for long periods of time without degrading, and the building needs to support the weight of the water in addition to itself.
Perhaps your water dwelling race makes land-based buildings simply because they're easier to build than in-water ones. If they are a primitive population, then their structural engineering isn't going to be great, so this makes sense.
There are many reasons that the merfrogs would move to land as shown in above answers but most of the reasons don't overcome the downsides of:
Other races
Elves are usually friendly and dwarves often keep themselves to themselves but orcs are likely to attack the merfrogs who probably aren't great at land combat. Humans will almost certainly exploit them as humans are greedy, horrible creatures.
Change is BAD
If the merfrogs traditionally live underwater they will be used to this lifestyle. It would be stupid to change kinda like all of the UK suddenly deciding to go to the Amazon rainforest. They wouldn't know how to live there and even if they do survive they will take many years to get back to there previous level.
Technology
Many people suggested they would move for improved technology e.g. fire. If they live underwater they probably have ways round these issues. For one thing they might not need cooked food, fresh fish is often safe to eat raw and if they want to cook it find an undersea vent or burn potassium.
Building
If they are primitive why not caves. Also humans build to escape the weather, the merfrogs don't need to hide from the rain 0r snow so why would they need houses?
The only reason left
The only plausible reason is that it was move or die, e.g. Climate change, disease or predators. In modern times I would suggest oil spills or rubbish dumping would drive them out. In these cases though they still probably wouldn't because of the lack of knowledge on how to survive. For all they know its out of the frying pan and into the fire.
heating
for some reasons (war?) your merfrog tribe migrated from tropical seas to somewhere much colder, so now they need artificial heating to survive. Heating a land based settlement is much easier than heating a under water settlement, especialy if your only source of heat is fire.
