Why does OS X warn me before running an app downloaded from the Internet?

Question

I'm always hearing that there is practically no malware threat in Mac OS: clearly claims that there is no Mac malware are exaggerated, but the received wisdom is that they are a negligible threat and anti-virus software isn't generally used unless required by a corporate policy.

So that being the case, why does OS X warn me before running an app downloaded from the Internet? What's the perceived risk exactly? Either there's a credible malware threat out there (in which case everyone should be running AV software) or there isn't (in which case the warning is unnecessarily obstructive).

---

Edit for clarity in response to some surprisingly hostile replies: apologies if my terminology is misleading. I'm using "virus" loosely to mean malware that an anti-virus product would protect against. For example, a software site is hacked and the genuine download replaced with an infected version. A user downloads it in good faith and runs it. That's the kind of thing a good AV client would be expected to deal with: that's what I'm referring to.

---

Edit for clarity 2 (not by OP): changed "virus" to "malware" in the question to further the distinction.