Note that the study you link to there is from 1994 and only controlled for the following criteria: sex, age, social class, marital status, unemployment, chronic illness and region of residence. Those aren't the things that put folks on edge about cities in 1994 or in the preceding years. 30 years on from 1994 and now in a different world, many of us are wondering why we're locked out of some of the benefits of a bit more density.
No ones saying we abandon all beyond our city walls to nature, instead they'll be farmland or productive rural activities like we already use them for. But we don't need every city of 500k people to mean that there's a 15 mile radius circle of strip malls in every direction.