Actually, yes; if you are in a boat and can get out to deeper water, do so. Tsunamis gain most of their destructive power from the runup of millions of tons of water being compressed as they reach shallows, and inertia will keep it moving inexorably inland. At sea, a tsunami is frequently barely noticeable, except by the special buoys that monitor tsunami waves.
eta: if you are underwater, location is everything. Deep water, not such a problem. Shallow water near a beach, you'll get grabbed by the wave and pulled along with everything else in a big watery mosh pit.