Macroscopic unicellular life, such as Valonia ventricosa, tend to have many organelles of same types, with plural nucleuses. Not exactly a colony, not exactly a singular life form.
Perhaps we are liquid by nature, but at sufficient atmospheric densities (Venus) couldn’t a relatively gaseous being take on characteristics of liquid ones?
What holds together gaseous species? Jellyfish are colonies held together by membranes. Membranes and structures are formed by many kinds of bonds, from static electrons to magnetic through to valences forming crystalline structures. Countless possibilities there.
How did life on this planet evolve into independent entities?
How did life gain selfness such that it fights to eat, to reproduce, to survive?
The flipside to any of these questions is that life may have taken the other route, and natural selection left us with what we have now.
See also: The Integral Trees (Niven), about life in a gas torus encircling a neutron star. Not a great novel, but in the neighborhood.