I guess it's almost the same comparing the two. In online gambling, you are just not physically there. The possibilities of risk are less compared when you're in a casino. No people would be staring at you, but there are also instances of hacking when you've exposed yourself with your money. I would prefer online still.
If i am to talk about safety, i would actually choose to play in real world casino because i got to control the chips and the physical counter to exchange for cash and chips are always there. So it wont be a day that i have tons of chips and the next day i woke up to find that the casino is no longer there and i end up with useless chips. This is true for online casino whereby a lot of these casino can disappear overnight and you have lost everything.