It's actually probably safer to defrost overnight in the fridge, especially with larger prey items. If you have a large frozen rat, and you put it into warm water, the outside of the rat is going to be at ideal bacteria producing temperatures for a long time before the inside is even thawed, much less warm.

The safest way to thaw frozen meat is to put it in COLD water until completely thawed, changing the water several times to ensure it stays cold, THEN placing it in warm water to heat it up. However, I don't know anybody who actually does that.

To me, it's easier and safer to put the prey in the fridge the night before, then all I have to do is warm it up when I'm ready to feed.