One of my favorite stories in this regard concerns a merchant who visited the realm of Vlad III Draclu (Vlad the Impaler), which while later than the time period that I'm asking out, is I think pretty illustrative.
The story goes that a merchant asked Count Vlad if he could stay in town overnight while he was passing though. Count Vlad agreed, and told the merchant to leave his stuff out in the open in the middle of the town square, insisting that it would be totally safe. When the merchant returned the next morning to reclaim his stuff, not only had nothing been stolen but he even found some extra money with his stuff. When he saw Count Vlad the next morning, the merchant told him everything, including about the extra money. Count Vlad laughed and said something along the lines of "Good thing you told me about the extra money or you'd be a thief!"
It may be apocryphal, but your story resonates pretty well with Renaissance justice. There were no police; criminal detection , forensics, etc. did not really exist. Instead, there was a wide variety of cruel, unusual and public punishments that were supposed to strike fear into possible criminals, terrify them enough so that they did not commit crimes. This is pretty much the common notion of justice until in the 18th century it was noticed that policing was more effective than terror at reducing crime: though even then, gibbeting ( hanging up the body of a criminal) persisted.
As for where you'd be likely to be robbed ( generally, in the later medieval world at least)- out in the countryside, where full-time robbers, perhaps unemployed mercenaries or routiers could live ( though if times were very bad, they might also take over a castle and become the local government). This is one reason why Chaucer's pilgrims are traveling together- it's safer. You might run the risk of getting into a brawl at a town fair, or having your pocket picked, but it was safer there than out in the woods.