No, not at all.
Most of the prostitution is gang controlled, that is true, but it is not unsafe for customers except in the lowest end of the business.
Saunas and Massage parlors are perfectly safe. Most houses ("Depas") with girls to choose are perfectly safe and all brothels, within the brothel's premises are perfectly safe.
Of course brothels are not located in residential areas so the surroundings might be a little less safe but if you don't stroll around the neighborhood alone, just get there and back in a taxi, they are perfectly safe.
A wingman would be useful to help avoid pickpockets but not an absolute necesity