This is true, but in a vacuum in a life-threatening situation a gun is better than a dog for defending yourself. And also does not require you to intentionally put an innocent creature in harm’s way. And also does not require nearly as much upkeep as a dog.

But you are correct, the presence of a gun does statically increase your risk of being shot. And that is something worth considering.

Edit: and furthermore if you buy a guard dog, your risk of being mauled by a dog will likewise go up.