The presence of liquids can significantly affect the dynamics of granular flow. This paper investigates the effect of liquids on radial segregation of granular mixture in a rotating drum using the discrete element method. The wet granular mixture, due to differences in particle size and density, segregates in a similar way to that of dry particles: lighter/larger particles move to the periphery of the bed while heavier/smaller particles stay in the centre. An index based on the variance of local concentration of one type of particles was proposed to measure the degree of segregation. While the liquid induced capillary force slows down the segregation process, its effect on the final state is more complicated: small cohesion shows no or even positive effect on segregation while high cohesion significantly reduces particle segregation. The effect can be explained by the change of flow regimes and the competing effects of mixing and segregation (un-mixing) in particle flow which are both reduced by the interparticle cohesion. A diagram is generated to describe the combined effect of particle size and density on segregation of wet particles. A theory is adopted to predict the segregation of particles under different density/size ratios.