Bob said what I was going to say. They will get tangled so just don't pull too tight. You may find yourself having to let go occasionally until he gets back to shore. I don't think anyone will condemn you for doing that if you're there to catch him before he goes romping off. Give it a try and be sure to use the floating rope.
As an aside, at one of HCNC's water trials, during the tow a boat, Hugo got the rope wound around a hind leg but managed to get the boat to shore anyway.
I encouraged him to finish the exercise and the steward was careful to keep as little tension on it as possible, since the boat, once in motion, tended to stay in motion (thanks Mr. Newton for that gem). However, under any other circumstances, I would just let go of the rope.