I have the bathymetry data in .DAT format and I want to create the bathymetry map in ArcGIS but don't know how to do that. I know how to create DEM from elevation data points but have never used .DAT format data, neither the bathymetry.
If you can open this file in a text editor then your file is an ASCII file. Then it can be already gridded (raster) or xyz (points) data (see this answer). Try to rename it from .dat to .txt and open in ArcGIS directly or using import XY data.