Why do we fear the things that are least likely to happen to us?

... while we don't fear the things that are most likely to harm us?

Yes, the media share a lot of the blame. Because of what they cover. And what they don't.

Turns out it is also innate to our species. It is part of our biology/psychology.

The dread factor predicts that events that are uncontrollable, catastrophic, fatal, and lead to involuntary exposure produce the most fear, anxiety, worry, and well, "dread."

Hence our fear of terrorism, shark attacks, and even ebola (although the latter is so unlikely to lead to involuntary exposure).