Even though research on tourists’ psychological responses to terrorism is substantial, it largely ignores on-site cognitive assessments and emotional responses. As a result, little is known about how location-related factors influence these responses. The present study intended to address these gaps in the context of urban tourism. Therefore, it aimed to evaluate on-site tourists’ psychological responses to terrorism in a city destination, while the emphasis was on identifying location-related factors that influence them. The study was based on framework analysis of fear-arousing walking interviews with foreign tourists (n = 24) in the city centre of Munich, Germany. Many participants self-reported the absence of fear of terrorism. However, all participants appraised terrorist attacks as possible within the city centre. The perceived probability varied among participants and visited sites. The differences can be explained by 12 identified location-related factors, of which the number of people and antiterrorism measures were key. Other factors, such as the way participants comprehended terrorism, also influenced their psychological responses to it. Theoretical and managerial implications are discussed.