Indeed, the Wikipedia page on the Vortex Tube mentions it has been successfully used with water when input at high pressure.

http://en.wikipedia.org/wiki/Vortex_tube

In 1988 R.T.Balmer applied liquid water as the working medium. It was found that when the inlet pressure is high, for instance 20-50 bar, the heat energy separation process exists in incompressible (liquids) vortex flow as well.

I hadn't heard of this before, interesting stuff!