That's a big one in Buenos Aires, too. I and a colleague were squirted about 100 yards from our hotel, immediately realized what was going on and, cursing the a-holes all the way, got back to the hotel as quickly as we could. We didn't lose anything. My wallet is in a zippered front pocket; her purse is diagonally strapped to her with the top zippered shut and the zipper connected to the strap with a carabiner. We'd have to be violently assaulted to be robbed.
It pays to know the popular scams, wherever you're headed. Obviously, trying to be aware of your surroundings is always a good idea, but especially good when you might otherwise be drawn into a distraction.