"That was close!" (4)
I believe the answer is:
'that was close' is the definition.
(both are said after narrowly avoiding danger)
This is all the clue.
(Other definitions for phew that I've seen before include "Gosh, that's a relief!" , "Gosh, I'm sweltering!" , "Exclamation of relief" , "Sound relieved" , "Good gracious, its hot!" .)