When it comes down to the amount of calories burned during a triathlon, running requires the most, while cycling uses the least. Swimming, of course, falls into the middle, calorie expenditure-wise. 
Having said that, the amount of calories you burn during a swim (race or practice) all depend on several factors: stroke technique, type of workout, and even water temperature. The most important thing to remember is that efficiency is the ultimate goal. Train in your target heart rate. Keep your heart rate low during exercise will actually allow you to burn more fat than in a scenario where you do sprints and get your heart rate up high (into the cardio zone).
If you would like an idea of how many calories it takes to do certain workouts, take a look at this chart and input the duration of your workout to get an approximate calorie requirement:
http://www.healthstatus.com/calculate/cbc
For the Complete Guide to Triathlon Swimming and the bonus book Burn More Fat, see: