In my experience, it is perfectly ‘safe’ to do so, however you will lose some of the benefit of the exercise. As long as you don’t strain yourself afterwards (i.e. don’t do stretching or more exercise after the shower), then you will be perfectly fine, and it won’t cause you any damage. You’d have to do more to your body to seriously disrupt homeostasis.
That said, you will lose some benefits. As @lilikoi said, there’s a reason Olympians put on jackets after an event. Usually mylar, too, which is one of the best materials for heat retention. Allowing your muscles to cool slower allows them more time to slow down their processes, and also allows them more time to adjust to the exertion of the exercise, which means that the exercise session will have a higher impact. Cold water shocks them back to normal temperature, and so they won’t have as much time to grow and reshape themselves to be better at the next exertion.
Also, cooling slowly will help increase flexibility, as the cold water will shock your muscles into contracting, and possibly hurt your flexibility (though not very much), while cooling slowly will again allow your muscles to more naturally contract, and so they will result it having slightly more flexibility then otherwise.