Other than water, some of other cutting tools are quenched in oil, and as were Japanese military swords during the war, but today, it seems to be reare that a Japanese sword is quenched in oil.
水以外にも、油で焼きを入れる事などが他の刃物類では有り、日本刀の場合では戦中の軍刀などで行われた事が有るが、現在では油で日本刀に焼きを入れる事が行われる事は少ないと思われる。