I've probably spent 3-4 years of my life living or traveling in Europe and South America, but the only place I've been pickpocketed was at home, Boston at the time. Part of that may be because I rarely travel in summertime -- they say that the pickpockets work like seasonal migrant workers, descending on tourist destinations when the pickings are good. It's probably uncomfortable and unprofitable to lurk around the Coliseum in January.