Central Station, Milan
Women shouldn't go the the Centrale Stazione area alone a night. Unfortunately it's where you catch the Eurorail so if your train stops here in the late hours try to find a buddy or ask someone to walk you to a taxi or whatever.
Just like any major city be smart and don't get carried away with the charm of the Italian men. I, being a single female, never felt weary strolling around the city center at night. I was approached many times by men asking me to accompany them for some wine or espresso, and they can be quite persistant, but I never felt scared just tired after repeatedly explaining no I do not want to join you for a bottle of wine.
As usual in big cities avoid the Central Station & others stations areas after 9-10pm ...
Generally speking Milan is not a 'walking' city late in the evening, just take a taxi and go wherever you wanna go but I think it is not advisable just to hangin' around ...