Seems to me like particular situations (i.e. crowded spots where you stand out for some reason) are more likely to warrant caution than particular cities. The one time someone attempted to pick my pocket was on a bus in rural Costa Rica - we'd just stopped and the aisle was crowded with people getting off, I felt a rummaging in my front pocket, slammed my fist down on the pocket and spun around to glare at the rather surprised would-be pickpocket.