People want to feel safe. Having high crime nearby makes people feel unsafe, even if it's just drug dealers and gangs beefing with each other that likely don't care about you.
Also, much of crime is not just random. So there is some logic in placing more value into not witnessing crime (especially one where someone is shot) while theoretically in a vacuum having a higher chance of being a target of a crime.
So statistically, by definition, crime per capita is all that matters. If there is lower crime per capita in a dense city, that's already accounting for accidents like stray bullets too.
If you don't want to be a victim of crime, then you want to live where crime is lowest per-capita. Period.
Not where it is lowest per square mile.
Strange take. The opposite is true. Crime per area has nothing to say about how likely you are to be the victim of a crime, while crime per capita literally does say how likely you are to be a victim of a crime.