The threat of victimization has been regarded as a central feature in both the development and the continuation of youth gangs. Although many studies find the need for protection to be a common reason youth join gangs, recent literature suggests that gang members are at an increased risk of victimization. Given this seeming contradiction between expectations and reality, the current article examines the “objective” and “subjective” dimensions of gang member victimization using panel data collected from youth between the ages of 10 and 16 years. Findings reveal that gang members report higher levels of actual victimization and perceptions of victimization risk than non‐gang‐involved youth. Gang membership is associated with reduced levels of fear, however. Overall, although gangs may not be functional in terms of actual victimization, they seem to decrease anxiety associated with the threat of future victimization.