Empoleon has a higher Sp. Def stat, and being a Water/Steel it has a lot of resistances to work with, so Calm is a pretty good nature. I'd rather go Calm over Bold.
The Empoleon I have right now is Modest, but seeing as how you can't get a Petaya Berry in 5th gen right now, I'm aiming for a calm, specially defensive Empoleon.