Shorting any battery will cause it to heat up, but lithium is a potent alkali metal. It reacts violently (as in fire and possible explosion) with water. The moisture in your skin will do just fine. Contrast this with other battery chemistries such as nickel-cadmium, which are practically benign by comparison.
Here's a great video illustrating the results of dropping bits of various alkali metals in to a bathtub full of water: