You should not because this can cause a grease fire. Grease fires, unlike traditional fires, cannot be put out with water, which can increase the risk of the fire rapidly spreading.
Oil heats up faster than water because it has a lower specific heat capacity. When oil is heated, it ignites and burns much more quickly and violently than at lower temperatures. Also oil and water do not mix: oil floats on the water. When water is rapidly heated it instantly turns into steam and expands .
