This is true, but so is the opposite! I think the most important thing is to be kind and receptive. It's fine to start a conversation with a women wearing headphones, just take it in stride and don't be weird about it if she isn't interested in talking. I do this (with men and women) a lot.
It is true that women are more likely to be approached by creeps, and due to the physical differences between the sexes women are at higher risk in such situations. That said, we shouldn't dismiss women as too delicate or whatever to chat with. They're people!
Not sure where you're from, but where I live, headphones are a well-understood signal that someone would rather not engage in conversation at the moment. Some have been conditioned to placate the kind of people who deliberately ignore these signals by engaging in brief small talk rather than risking a confrontation, but this shouldn't be misconstrued as an interest in talking.
I mean I'm sure there's a guy somewhere who's annoyed by this, but "a lot of men who are annoyed" feels like making up a group of people to be angry at.
If you go to popular tourist spots in Europe there’s usually that one guy who’s trying to scam everyone who passes by. It only takes one to be a huge nuisance.