Swimming in chlorine or salt water actually helps dreads to tighten up. If you even can sit out in the sun afterwards it will really helps to tighten up (just remember to wash your scalp. )
If your dreadlocks are brand new they might need some palm rolling and backcombing afterwards, but they don't fall completely apart from you swimming with them.
If you do want to protect your dreads against the water, then you can get yourself a swim cap
The ones we have in stock are specially made for dreadlocks, to give them plenty of space inside the cap.