Myth. More Hollywood magic. First of all, do you know how dangerous a shot in the leg really is? Probably not, because folks in movies treat it like the most survivable wound. Two words: femoral artery. You can bleed out in seconds from just a knick. So, no, it's not "safer." There is no such thing as "shooting to wound." Every shot that hits can kill a person, so every shot should be treated as lethal.
But aside from that, there's a reason police are trained to shoot for "center mass." It is not because that's where the vital organs are, or because it's more lethal (though both of those are true). It is because it presents the largest target, more mass to absorb the energy of the bullet, and thus less chance of the bullet bypassing or going through the target to hit something else. A leg is a tiny, fast target, and it is incredibly difficult to hit even for a trained shooter--almost as hard to hit as the head.
It's safer for everyone to shoot center mass. Also, because there's more energy transferred into the body, that force goes toward stopping the target, which is our goal anyhow. If you're shooting, you aim for center mass.