Bitcoins itself are not unsafe. It's just a keypair (public/private key). You can create a so called paper wallet on your machine and use the public key to tran

Bitcoins itself are not unsafe. It's just a keypair (public/private key). You can create a so called paper wallet on your machine and use the public key to transfer money to that address. Nobody can steal it from you in that case. The problem is: In order to for transactions to work fine you'd need to run the bitcoind client on your machine. So you have to secure your machine and need to run the client. This is quite difficult for some people so a lot of web services offer you an online wallet. There the private and public key is on their server. These services get hacked quite often. You basically trusting a stranger with all your money. The exchanges also provide you with a wallet. A lot of people are lazy and keep their Bitcoins and their money in the exchange. But some exchanges store the money they don't actively use in so called "cold storage" i.e. on a computer that is not connected to the network and webserver of the exchange. In that case you can hope that your money get's refunded. If you store your Bitcoins in an offline wallet and only use exchanges for buying or selling the Bitcoins and withdraw your coins or money after the transaction you can minimize the risk.