Parking lots are attractive to crime: Unattended vehicles, low surveillance, relative anonymity, unused space late at night. Many kinds of deals take place entirely within parking lots. The crime wouldn't vanish if these locations were busier and less anonymous, but it would be a little more challenging to go completely unnoticed.
I don't know about dangerous, but walking through a sea of parking lots is generally pretty unpleasant as a pedestrian. Unlike a driver, where your immediate environment is the car, which you control, a pedestrian's immediate environment is the street and neighborhood.
Parking lots aren't pedestrian friendly. You have to keep your head on a swivel and look at all parked cars (in case they're about to start moving) and all approaches (in case of cars already in motion) to ensure that you're not about to get run over. It's mentally fatiguing. Other posters have addressed the crime issue. Walking down a sidewalk is a way better and safer experience as a pedestrian than walking through a parking lot.