I think that having to choose to avoid dangerous situations would threaten some deeply-held belief. As you observe, men also do stupid things with a high probability of a bad outcome. However, since they are usually (a) stronger than women and (b) not sexually targeted by men, the bad outcome of sexual assault is far less common.
Exactly. Men go for walks in places they shouldn’t, but are more likely to get away with it, especially if they look like they might not be easy prey.
Even a very fit woman will appear to even an “intelligent” violent criminal as prey.