It's a cultural thing. In the US, you get so bombarded with these kinds of messages (we are a very fear-based society) that people spend a ton of time worrying about being victims of crime. If you're breathing that air all of the time, some people have a hard time thinking critically about it.
I don't worry about it anymore than I worry too much about car collisions, but I still wear my seatbelt when I drive.
Having been a police officer for more than a decade before moving on to other things may have skewed my viewpoint in the same way that you say "bombarded messages" does, but I find it better to be prepared than not.
While a gun was an absolute necessity for survival in my prior job, I found myself for many years afterward answering people who inquired whether I needed it since then with a "no." I even arrested a burglar without pulling it and held him for the police. Then, a year ago, my wife and I were set upon by two armed robbers, at night but in a well lit area of a city we were visiting, an area that "felt" safe. I was carrying a gun, but not visibly.
I never got a chance to use it. As they realized I was armed and I was swiftly putting it to use, they fled.
I am thankful that I did not give up on my habit of daily arming myself, just for that one moment in time. It may happen again, or it may never happen again, but one cannot really predict with any success whether it will or, if so, when. I keep myself armed and at peace with all men so far as it is within my power to do so.