Often for non-gun related threats. And also because they're probably in riskier demographics.
Or maybe because they just enjoy shooting.
> Just because heart disease is the most common cause of death doesn't mean concern about anything else is irrational.
Worry is zero-sum. The time you spend worrying about being shot is time you aren't spending worrying about your trans-fat intake, or simply enjoying life.
> I think being afraid of something that can kill you is absolutely rational.
Afraid of, or worried about in general? If a bad guy is swinging a gun around, yes you're right to be afraid. There's a direct action that will make you safer - leaving - and you should take that if possible.
But in general to worry about a bad guy with a gun is stealing attention from real problems with actual solutions.