Try comparing violent crime and homicide (by any method, not just guns) rate and you'll discover that the facts lead you elsewhere. Are you any safer in a country where you're just as likely (if not more so) to get stabbed or beaten to death just because you're not going to get shot? I don't think so.
I'm curious where you're getting your information from. From what I've read US has one of the worst homicide rates among industrialized democracies. Countries that are generally lawless, are in the midst of civil war, or suffer from routine coups are far worse but why would I compare them with us? Surely we should expect more than what Zambia can provide? Among the countries that have fewer homicides they generally have
far stricter gun control laws. Why wouldn't I be safer in a country where the weapons of choice are fists and knives? At least I'd have a chance of besting my opponent or holding them off long enough for someone else to escape. Against a gun-wielding maniac? Not so much.