In a workplace HnS setting you see this mistake all the time – people get fixated on the catastrophic things that are very, very unlikely to happen, and meanwhile lots of work time (and money) is lost through injury caused by people tripping over loose carpet or stray wires, lifting boxes badly etc.
I guess this is what they call a black swan.
I think that whether to wear a helmet or not is not a straightforward decision.
Someone said that it’s always safer to wear a helmet than not to wear one. This guy made a career explaining how, because of the risk compensation effect (people adjusting their behavior in response to the perceived level of risk) benefits of seat belts were neutralised by more risky behaviour of drivers. I think there is more than just anecdotal evidence that this effect applies to cyclists as well.