Well, if the act of righting the water allowed the spill to be contained before it permanently damaged some other valuable asset, such as electronic equipment or your silk tie or a watercolor you were examining, then "Close call!" is perfectly appropriate. It doesn't imply blame.
"Nice save" contains the same implication that damage was averted, but also can imply that the person the remark was addressed to was responsible for the risk itself, and therefore was duty-bound to be the first to try to avert it or redress it. In other words, to extend the metaphor, they are the goalkeeper, and it was their job to do the saving.
However, "close call" can also relate to a risk posed by anyone or anything, such as a near-miss by a lightning strike, and can be used where no action was taken to avert the damage.
"Nice save" doesn't apply in situations where no action is taken, but can also be used if someone creates a bad situation that is then rescued by someone else. So, for example, if someone trips and you catch them before they hit the ground, anyone may say, "Nice save!" (except you, of course).