Does sputtering butter mean that water is present?
Yes, your butter contains water - which is perfectly normal.

While oil is 100% fat, butter is only around 80%1 fat plus some protein and ca. 15% water. 

Regarding your question where the water comes from - 
If you look at how butter is made, it becomes obvious that the water was there from the beginning:


You start with cow's milk, which has a natural fat content of (roughly) 4% and almost 90% water.
The cream that rises to the top or is separated by centrifuges contains about 1/3 of fat, some protein and still about 60% water. The other result of this separation is skim milk - with only very little fat left. (Values vary quite a bit, depending on the process and desired result.) 
Churning the cream (or in some processes, the milk) further concentrates the fat content in the 80% fat / 15% water butter and separating it from the traditional buttermilk, which contains mostly water and proteins.


And yes, if you heat the butter, this water will start to boil and sputter, especially if you use a hot pan. Heating the butter on low heat first can somewhat mitigate the effect as it allows the water to evaporate more slowly.

If you want a pure fat butter product, you could choose clarified butter, which has the water and milk solids removed. 



1 This may vary, depending on national laws, customs and quality grades. Between 80% and 85% is a good ballpark number.