As practice shows, Mykonos is completely safe in the central and other crowded parts of the island. Even pickpockets on the streets are a rarity, as people come here to have fun and relax. However, in order not to give them the entire currency reserve, take with you only the necessary amount, and leave the rest in the hotel. By the way, there are very few Russian tourists on the streets of Mykonos. But you should not go to the remote areas of Mykonos without an escort.
Another danger that can befall you here is the overactive sun, as well as "creepers" in places remote from the beaches.
And never drink tap water - there is a problem with it in Greece.