Same reason I listen to music or podcasts in the car.

I am very lucky to live in a city/country where risks of theft from my person is low - when I lived for 20 years in London I never once felt unsafe listening to music.

The closest was two young men got very close to me on the tube, when I was playing on my brand new Hong Kong imported PSP - but I just took my headphones off. I think they were just interested as most people hadn't seem one in the flesh yet.

I can't say I know of anyone personally who suffered theft or accident caused by them listening to music on headphones.

When I cycled a lot, I had a small speaker strapped to my handlebars rather than wearing headphones, as I liked being able to hear cars around me - but when I was younger I regularly cycled in headphones, and was still able to hear enough of the road around me to not feel that I was missing anything.

Remember, we don't make drivers drive around with no music and their windows open, so that they are better able to hear cyclists...