Nature reserves at sea, they exist! Furthermore, the UN Convention on Biological Diversity stipulates that by 2020, 10% of marine and coastal zones need to be protected.
We are already currently at 12.7%, at least within the marine areas which extend from individual littoral states (between 0 and 200 nautical miles). Nevertheless, 129 countries which are party to the Convention will not achieve the 10% target individually.
Many other areas are at stake. These include an area of 1.55 million km² off the coast of Antarctica. India intends to protect an additional 5000 km². Mexico is working towards protecting 2 marine areas, of around 335,000 km² and 11,825 km² respectively. In so doing, it would protect 11% of its national marine areas.
On the high seas - where individual countries have no authority - there are no Marine Protected Areas. As yet, there is no legal framework. Negotiations are currently underway to be able to protect biodiversity fully on the high seas.
In the meantime, various UN agencies are working towards protection within their own sectors. For example, the International Maritime Organisation (IMO) has organised the 'Particularly Sensitive Sea Areas' (PSSAs), including the Great Barrier Reef and the Wadden Sea. Strict rules are imposed on ships in these areas, regarding the unloading of oil, hazardous liquids and suchlike. The UN Educational, Scientific and Cultural Organization (UNESCO) attempts to protect world marine heritage: atolls, great barrier reefs, lagoons, etc.
The potentially first genuine marine nature reserve is the Sargasso Sea. This sea is known as a unique breeding ground for the European and North American eel.
You can find all the details regarding nature reserves, both on land and at sea, in the World Database on Protected Areas (WDPA). This database is managed by the World Conservation Management Center of the UN Environmental Programme (UNEP), and by the International Union for the Conservation of Nature (IUCN).