I'm a man and I fear what some other men are capable of. Hell even I feel a little uncomfortable walking home alone because I didn't want to pay for a cab and I'm fairly built and capable of defending myself. There are some seriously dangerous men out there and there way more of them then women.
One only has to look at the history books(and even today still in less fortunate areas then my own) to see what happened to a cities female citizens when they were conquered by an opposing army or total anarchy broke out. Beyond that there's the fact that males commit way more violent crimes then women. As a man I recognize that we really don't have the greatest track record historically when it comes to the safety of woman and considering there feelings. This is why they are so cautious I think at least partly, back in the day it was how they survived the fact they had little to no rights. That mentality isn't needed as much these days in modern society, but there no denying there are obviously still men around that give them need for it still.