Earlier quoted context omitted.
Pretty sure they don't if you expel all trapped air. Its this stuff: https://en.wikipedia.org/wiki/Acrylonitrile_butadiene_styren... which has a density > 1 x 10^3 kg/m^3 ie 1 g per cc. Water is slightly less than 1. Lego sinks.
Bet they float in salt water.
According to WP: "The density of surface seawater ranges from about 1020 to 1029 kg/m3"
According to WP: ABS is 1.060–1.080 g/cm3
Lego sinks in seawater.
If you saturate a beaker of water with salt then lets go here for some results because I can't be arsed to go back to school: https://en.wikipedia.org/wiki/Saline_water
Roughly 1.193 g/cm3 which is more dense than ABS so Lego will float in salt (NaCl) saturated water.