The phrase 'at sea' is correct and can be used in written English. It is commonly used to describe a situation in which somebody feels confused or uncertain, or when something is being done without direction or guidance. For example: After hours of searching the internet, I was still at sea and couldn't find an answer to my problem.
Out at sea?
Born at Sea.
"It's like being at sea".
He was lost at sea.
I am untouchable at sea.
Those at sea know better.
Worse things happen at sea".
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MA of Applied Linguistic, Maquarie University, Australia