[Um... I jog alone in my neighborhood. And I jogged alone when I visited Fiji and South Korea. Normally, one doesn’t have too much concern about this.]
Exercise is generally better done with people around you. That way, if you fall or have a cardiac event, there’s someone around to call 911. For joggers, there’s the additional issue of getting attacked by criminals who are either lying in wait, or happen to encounter the victim by chance.
I indoor bike at the local rec district. Always someone there either outside at the desk or another exerciser. Ofc I also have a GLOCK 43 with spare mag (but no round chambered) either on IWB or in bag hanging on the bike. After showering and getting dressed I go to +1 mode before leaving.