There has been an average of 1 high school cheerleading death per year for the past 25 years, with around 20,000 injuries reported per year.
There has been an average of 1 pole vaulting death per year for the last 20 years (also, pole vaulting has the highest number of deaths per participant of any sport).
You know, I was going to list a solid 10 or so examples of dangerous sports that people don't consider dangerous, but really if you google the incidence of serious injury/death for nearly any sport, it will exceed MMA.
So basically, let them suggest an alternative, and then drop some knowledge on them.