To paraphrase a verse in the NT: Where your treasure is, there will your heart be, also. We as a society value violence. We spend a lot of money on guns and on our military.
We also have drastic income inequality, a horrible healthcare system, for profit prisons, a war on drugs that essentially funnels money to criminals (and the prisons mentioned above), a reality-show caliber media, and a giant population with virtually unlimited demographics. Let's not pretend guns are the only difference between the US and other countries.
We have cities bigger than some of the European countries we're so often compared to, and have roughly 10x the population of Canada, the UK, or Australia. We're also nextdoor neighbors to a country with a 17/100k homicide rate, roughly 4x our own.
Last year the UK had a bombing which killed 23 people and injured 400. If you scale that up by population that is the equivalent to roughly 200 people in the US being killed with over 3000 injured. You could have a bombing/vehicle terrorist attack that kills nearly 20 people and injures 350 once a month in the US, and it would be the equivalent to the one event in Britain as far as population goes, but would make the US feel much more dangerous just because of our enormous sample size. That is the kind of misleading that I'm talking about when we use absolute numbers instead of rates or proportions. While the US is roughly 5x more violent than Australia or a similar country, you can expect to see 50x as many news stories and grandiose events due to our population difference, exaggerating the problem by a factor of 10. Even if the US were exactly as peaceful as Australia, you would still expect to see roughly 10x as many reports of crime and murder occurring in the US as you did in Australia, which would make the US feel much more dangerous.
Additionally, as I've pointed out numerous times before, the ratio between Australia and the US's murder rate has remained roughly consistent since the 90's, when Australia's harsher gun laws were enacted. Yes, Australia's rate decreased, but so did the US at roughly the same rate. There's something other than gun laws that accounts for the difference between us, otherwise you would've expected Australia to drastically widen the gap in that time.
As for the "well police should be doing their job better," no shit. That doesn't really make me feel any safer though. It's like telling a girl after she's been raped she shouldn't carry anything for defense because men shouldn't do that and police should help her. Yeah that's true, but we live in the real world, and what "should" happen doesn't mean a whole lot when shit goes down. Nobody cares more about your safety than you, similar to your money or your happiness.
edit: And I'm not saying the US doesn't have a problem with violence, I'm trying to put into perspective the constant media bombardment that uses absolute numbers and exaggerates the issues.