Yes, but let's imagine an extreme case... if 1 million people in the US had a 33% chance of being killed by a gun, and everyone else had 0% chance of non-terrorist gun violence, but the chance of a terrorist attack was evenly distributed, it would make sense for 99% of the population to be more afraid of terrorism than guns.

The problem is, that is the world that many people think they live in -- that gun violence is something that happens to "someone else", but terrorism can happen to anyone.

Right, but isn't that rather useless? If we knew the actual probability of each individual being killed by guns or terrorists, we could find that neither of these averages would be represented by even a single person.