Zagreb is safer than average compared to most other European capitals. Incidents of street crime such as muggings are rare. Visitors usually spend their time in the city centre or in the slightly larger historic area around it, which are pretty safe to walk around at night.
There are some seedy places here and there, but these are mostly bars and night clubs which are farther away from the city centre. I am not a woman but I did have the chance to walk at night around Manhattan and Paris and I can say Zagreb feels much safer - and also emptier - in comparison.
If you just go where you see regular people hanging around, and avoid the usual seedy spots such as the occasional strip club or the main bus/train stations, you should be perfectly fine.