People who are less fearful have a tendency to not receive as much damage. When you're afraid, not only does the stress of the situation affect your immune system and health, but fear often causes you to do stupid things and to act rashly. Fear fogs your mind in panicked situations, and while fear is a hindrance, fearlessness is stupidity.
Anyway, people who are less afraid in dangerous situations usually have a clear mind and can avoid damage that would have been caused if one were afraid, even if the difference is minute.
If one shows fearlessness and bravery in battle, they are less apt to be hurt, because fearlessness often frightens others and they will avoid confrontation you. Being fearful is usually a sign of weakness and makes you an easy target.
None the less, Despite the deep moral lessons the proverb holds, if a bullet is shot with precision at you, it will find its mark.
Perhaps strong belief of impervious-ness, accompanied by fearlessness, and a bit of energy causes an avoidance to danger, somewhat like casting a protection spell.
Sorry, I'm on a tablet, and the blasted thing is more difficult to use than rocket science!