I'm sorry, but your understanding of physics is incorrect. Water has a very high heat capacity. A tear gas canister is made of thin metal. It won't flash more than a few drops of that bottle of water to steam before cooling down.

Also, if it did, traffic cones aren't nailed down, are they? It would explode out the sides.

Thirdly, I have personally seen people with gloves grab tear gas canisters and throw em back. They don't keep hold of them for very long, and their gloves aren't damaged.

Welding gloves should work fine, tho, esp. given the time period is rather short