After all, high population density leads to more interactions with other people, a small portion of which escalate to violence.
Also, if I was aiming for a career in violent crime, I'd pick a place with lots of potential victims. After all, mugging the other inhabitant of East Nowhere, Alaska pretty much means you've cornered that market and need to move elsewhere.
(The underlying assumption is that the percentage of people murdered by their partner or close friends is pretty much even across the country, and that what varies is the - hm - opportunistic murder rate.)
You might also find yourself having an "accident" that makes you bear food pretty quick.
To your point, being a career criminal in a dense urban area also probably increases the likelihood you won't be caught after committing a crime and be able to go on to commit others.
Secondly, policing becomes harder in a city due to increased anonymity and the ease of hiding in plain sight. As a city grows, more and more people don't know each other. This reduces the effectiveness of social policing.
Police tactics are only going to get you so far in communities that (justifiably) see the police as an oppressive enemy faction, where witnesses don't talk to detectives and juries don't convict.