A red-faced tourist from Taiwan had to be rescued after walking off St Kilda pier in Melbourne while browsing Facebook on her mobile phone.

The woman told police she had gone to the jetty to see the penguins on Monday night.

But she was so distracted by her Facebook page that she walked straight off the pier and into the icy waters of Port Phillip Bay.

Leading Senior Constable Dean Kelly, from the water police, says they raced across the bay to rescue her.

"She was still out in the water lying on her back in a floating position because she told us later that she couldn't swim," he said.

"She still had her mobile phone in her hand and initially she apologised and said sorry.

"She said, 'I was checking my Facebook page on the phone and I've fallen in'."

Senior Constable Kelly says the woman spent about 20 minutes in the water before being rescued.

"With Facebook, or social media in general as far as we're concerned, if you're anywhere near the water just pay attention, especially if you can't swim," he said.

The woman was cold and wet but otherwise unharmed.