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A good analogy is a Burglar. We all know that there are burglars in the world. But there is not a line of them just waiting to break into your house. However, if you leave your front door wide open your chances of getting robbed is a lot greater than if you had your door closed and locked.
The same thing goes for Identity Theft. If you throw away documents or anything with your personal information on them a thief could get them, but if you "lock" the door by making sure your information is destroyed before you throw it away your chances are reduced significantly.
Just as not every house that leaves their door open would be robbed, not every person who does not make sure their personal information is protected will be a victim of Identity theft. Just that the chances are higher that it would happen.