Per the rules compendium page 249, you can't shift over any terrain that requires a skill check. So unless you have a swim speed, you can't shift while in water.
Here's the excerpt from the Rules Compendium - see the Special Movement Modes section:
Action: Move action.
Movement: The creature moves 1 square. (Some powers and effects allow creatures to move farther than 1 square with a shift.)
No Opportunity Actions Triggered: Unless the description of an effect says otherwise, shifting doesn't trigger opportunity actions such as opportunity attacks.
Special Movement Modes: A creature can't shift when using a movement mode that requires it to make a skill check. For instance, if it is climbing, it can't shift if it has to make an Athletics check to climb. (A creature that has a climb speed can shift while climbing.)
I normally invert this and say that you can shift over any terrain for which you have movement speed.