Fiancè won't come with me to party 🙁

My friend invited me and my fiance to a party. It's going to be a costume/Halloween party. There's going to be food and alcohol and all that. I told my fiancè. He says I'm free to go but he's not going because he has really bad anxiety. I told him I'm a 5'4 woman. Someone could hurt, drug, or rape me. He said we could stay in and watch Halloween movies but I said I wanted to go. He said he doesn't want to go. I feel like a man should want to protect his woman. My dad always raised my brother's to walk a woman outside if it's dark. Parties with alcohol is a place someone could hurt me. I don't get why he can't put his feelings aside and got to have fun with and protect me.