Because it will explode and rain fire down upon you.
The video above shows what happens when room temperature water meets a surface so hot that it explosively turns into steam. An instant after the water bottle hits the steel in the “ladle” that holds it, globs of molten metal ride a rush of expanding, super-heated air, producing a shower of sparks that would quickly turn you into what’s left of Viserys Targaryen.
Notes below the video submitted by Gregory Kroll suggest that the water bottle thrower was probably fine (his employment maybe not so much). The bottle fell into a vat of molten steel that was already 10 to 20 feet below the camera, and the thrower likely retreated to a “bomb shelter” on the edge of the furnace deck. But make no mistake, this is definitely a “hold my beer” disaster waiting to happen. Who knows how many regulations he just broke.
The same reason why you shouldn’t throw a water bottle into 2500-degree Fahrenheit molten steel is why you shouldn’t pour water on a kitchen grease fire—the grease heats the water up so quickly that it expands like a bomb, throwing grease (and fire) into the air like a burger dragon.
The process also works in reverse. When The Backyard Scientist poured molten salt into a fish tank, it violently exploded as water in contact with the salt expanded to 1600 times its size in fractions of a second. Needless to say, don’t try anything in this post at home.
UPDATED: The GIF below, apparently from the same event, shows exactly why this is so dangerous.