Compressibility is the ability of the substance to change its shape by applying external pressure
Solids form closed packed structure with negligible intermolecular space. So, they do not change their shape in presence of external pressure.
Liquids have very less intermolecular spaces so even they are resistant to external pressure and does not change their shape hence are incompressible.
Gases have large intermolecular spaces in between the particles. So, they easily change their shape in presence of external pressure and are compressible.