Uganda is landlocked. It has no coastline. The nearest sea is the Indian Ocean, accessed via neighboring Kenya (or Tanzania).
The Arabian Sea is a northwestern arm of the Indian Ocean (bordering Yemen, Oman, Pakistan, India). It is not the closest sea to Uganda—the Indian Ocean proper (off Kenya/Tanzania) is closer geographically and logistically.
Uganda's economy depends heavily on these transit routes for imports/exports. The Kampala–Mombasa railway and pipeline projects aim to reduce transport costs.