Gamyrick, perhaps like any populous city in the US, crime is inescapable; this is most especially true in the metropolitan areas of the city. I'm sorry you experienced an unfortunate event during your time in Phoenix. I don't live in Phoenix, but I live on the outskirts (of the valley). Things tend to get better when you situate yourself on the outer areas of the valley (e.g., Scottsdale, Sun City, Litchfield Park, Cave Creek, Anthem, Carefree, etc.).
Now, to give feedback to the original poster's query, air quality is not an issue for me. But then again, I do not have any respiratory issues. Since it is at the peak of summer at the present time here, the air is of lesser quality than what we get in the fall, winter, and spring seasons. Also, summertime is when the valley gets plowed by dust storms as an effect of high air pressure lifting dust off the ground. From time to time, I get an alert on my phone app (from our local news agency) of high ozone content in the air. However, even with that, I don't have any issues with the air when I'm out for a walk. It is only when doing strenuous exercise like jogging do I experience a slight funny feeling when breathing laboriously and deeply.
In my opinion, if you're a serious air-gunner looking to retire in a place with lots of shooting opportunities, Arizona is one of the best places to do so. Because of the dry air almost year-round you don't have to worry about corrosion on your air gun barrels and screws. (I just had to throw that one in because I believe lack of humidity indirectly contributes to good resale value of your gun should you decide to sell.) It is also a place where the real estate prices are one of the nation's best.