On the Pauling scale, selenium has electronegativity of 2.55, whereas oxygen has electronegativity of 3.44. This means that the difference in electronegativity across an H-O bond is greater than that across an H-Se one, and that the H-O bond is therefore more polar. As a result of this the O atom can pull charge density towards itself much more so than Se can, and therefore hydrogen bonding is much more prevalent in water than in hydrogen selenide.
The presence of the high number of hydrogen bonds in water means that energy must be input to overcome these before the molecules have sufficient energy to enter the gas phase. In hydrogen selenide, however, it is only necessary to overcome the much weaker van der Waals' forces between the molecules to do this, and room temperature provides more than enough energy for this. Therefore at room temperature, hydrogen selenide is a gas whilst water is a liquid.