How do most animals know swimming naturally, without having to learn? Why is not
the case with humans? Does it have to do with anatomy? Maybe not. Because,
humans can "learn to swim".

All I've been able to find on this subject is two quotes; one from Sir 
Thomas Browne,a 17th century writer and physician, and one from 
Straightdope.com (humorous popular science website). Both suggest
that human anatomy makes it harder for humans to learn how to swim than it is 
for other mammals.

http://penelope.uchicago.edu/pseudo46.html
Sir Thomas Browne (1646; 6th ed., 1672) Pseudodoxia Epidemica IV:vi 
Vulgar Errors
Of Swimming, and Floating.

"THAT men swim naturally, if not disturbed by feare; that men being 
drowned and sunke, doe float the ninth day when their gall breaketh; 
that women drowned swim prone but men supine, or upon their backs, 
are popular affirmations, whereto we cannot assent: And first, that man 
should swim naturally because we observe it is no lesson unto other animals, we 
are not forward to conclude; for other animalls swim in the same manner as 
they goe, and need no other way of motion, for natation in the water, then for 
progression upon the land; and this is true whether they move per latera, that 
is two legs of one side together, which is Tollutation or ambling, or per 
diametrum, lifting one foot before, and the crosse foot behinde, which is 
succussation or trotting, or whether per frontem or quadratum as Scaliger 
tearmes it, upon a square base, the legs of both sides moving together, as 
frogs and salient animalls, which is properly called leaping; for by these 
motions they are able to support and impell themselves in the water, without 
alteration in the stroake of their legs, or position of their bodies. 

But with man it is performed otherwise; for in regard of site he alters his 
naturall posture and swimmeth prone, whereas he walketh erect; againe in 
progression the armes move parallel to the legs, and the armes and legs unto 
each other; but in natation they intersect and make all sorts of Angles: and 
lastly, in progressive motion, the arms and legs doe move successively, but in 
natation both together; all which aptly to performe, and so as to support and 
advance the body, is a point of art, and such as some in their young and docile 
yeares could never attaine. But although swimming be acquired by art, yet is 
there somewhat more of nature in it then we observe in other habits, nor will 
it strictly fall under that definition, for once obtained it is not to be 
removed; nor is there any who from disuse did ever yet forget it." 

http://www.straightdope.com/mailbag/maquaticape.html
"With very few exceptions, adult mammals, when introduced to the water for the 
first time, can swim without any previous training. This is largely because 
they tend to float horizontally and are able to keep their nostrils 
above water. Apes and humans, on the other hand, tend to float vertically with 
their nostrils submerged. 

Humans (and at least some apes) can learn to swim, but it doesn't come 
naturally."