Well, there was one robbery in Wisconsin where a guy was robbed and his OC gun was taken. It's not clear if the robbers did it just for the gun or if they noticed it while they were robbing the guy.
While anything could happen and a gun grab or someone shot for OCing may happen in the future, it's still more likely you would be hit by lighting first. So possible yes, probable, not so much. I would rather OC and reap the benefits, than worry about something that is unlikely to happen (Gun grab, shot.)