Bromine (Br2) is a nonpolar molecule, meaning that it does not have a net electrical charge. Cyclohexane is also a nonpolar molecule. Like dissolves like, so Br2 dissolves in cyclohexane because both substances are nonpolar.
Water, on the other hand, is a polar molecule. This means that it has a net electrical charge. Br2 is nonpolar, so it does not dissolve in water.