Phi Phi Don is as safe as there is. I've never heard of a violent crime on Phi Phi, and even petty crimes like pickpockets are rare. The most significant danger on Phi Phi is... alcohol. Being a party destination, alcohol is easy to find and leads to plenty of accidents, so please drink responsibly. Being a safe place doesn't mean you shouldn't get travel insurance. On the contrary, it's one of the most must-do things before you travel. I currently use HeyMondo for my travels because they have proven themselves to me more than once over the years. The link above will give you a 5% discount, but If you have another favorite provider, that's ok. Just make sure you have one because you never know what may happen.