I have a pet theory about this that I've never bothered to test against actual statistics. Those of us who live in cities have been taught to be wary on the street, especially at night. As you say, this is not exclusive to women; we men have been similarly "trained" in basic self preservation, for lack of a better word.

My pet theory is this: The reason for this caution is rooted in earlier decades when the incidence of street crime was much higher than it is today, on average. The odds that you'll get mugged today are quite low, but we've been taught to be prepared for it, and to actively avert the possibility of it, as if the odds are much higher. So yeah, we're all spooked about empty parking lots at night and so on. We know that a street robbery can happen — to name an example — so we try to avoid it, even though the odds are overwhelmingly against it. It's the same kind of thinking that leads us to avoid standing under trees during thunderstorms. Am I gonna get struck by lightning? The odds are literally millions to one against it … but I'm still not gonna roll those dice, because the cost of bad luck is way too high.

Some women have gotten on the kick of talking like the example posted here: I shouldn't be scared, blah blah. What they're really saying though is that they think they shouldn't be mindful of their safety. Which is bull. Even if street crime were all but unheard of, we'd still take reasonable steps to avoid it for the same reason we take reasonable steps to avoid getting struck by lightning: because even at such long odds, the cost of a bad roll of the dice is just too high. It'd be irresponsible not to be reasonable cautious.

"I wish I didn't have to be reasonably cautious" is a fine sentiment and all, but I think it's an awfully hard sell.