(Updates with Japan's trade ministry statement in paragraph 11, changes date to March 11)

* Japan trade minister calls for calm heads

* U.S. trade envoy in Brussels on Saturday

* EU says more talks next week

* EU warns could go to World Trade Organisation

By Philip Blenkinsop and Alissa de Carbonnel

BRUSSELS, March 11 (Reuters) - The European Union and Japan urged the United States on Saturday to grant them exemptions from metal import tariffs, with Tokyo calling for "calm-headed behaviour" in a dispute that threatens to spiral into a trade war.

U.S. President Donald Trump set import tariffs on Thursday of 25 percent on steel and 10 percent on aluminium, to come into force in 15 days. But he exempted Canada and Mexico and held out the possibility of excluding other allies.

After meetings with U.S. trade envoy Robert Lighthizer in Brussels, EU and Japanese trade officials said negotiations would need to continue.

Europe's trade chief Cecilia Malmstrom described talks with Lighthizer as "frank" and said they had not brought clarity on the exemption procedure. Talks would continue next week.

"As a close security and trade partner of the US, the EU must be excluded from the announced measures," she tweeted after bilateral and trilateral meetings.

Japanese Trade Minister Hiroshige Seko said he had expressed Japanese concern to Lighthizer and warned of major market disruption.

"We call for calm-headed behaviour," he told reporters.

Seko did not go into what conditions might allow Japan to evade tariffs and, asked if Lighthizer had brought up the U.S. trade deficit with Japan, Seko said no.

"He only explained the schedule and the procedures," he said.

Any Japanese response, he said, would be in line with World Trade Organization rules: "If there is a violation, then we will seek consultations," Seko said. "We will look at the impact on Japanese businesses and make a final decision."

Japan's trade ministry issued a statement earlier on Sunday, saying that Seko told Lighthizer that exports of steel and aluminum from Japan, which is a close ally of the U.S., would not affect U.S. national security. Seko also said these exports had made key contributions to U.S. industries and jobs, the statement said without elaborating.

The European Union and Japan, the United States' top economic and military ally in Asia, also reiterated that their exports were not a threat to U.S. national security, rejecting Trump's justification for imposing the tariffs.

Lighthizer did not make any immediate comment after the meetings.

The three parties did agree on joint steps to tackle global steel overcapacity and distorted market practices, including stronger rules on subsidies and more sharing of information about market abuse.