SD has a bunch of clubs! Depends on what you're looking for. If you're looking for something "upscale" (with a dress code) maybe try La Fabrica or Jet Set for local music and pop "EDM", for something more relaxed and trending towards house/techno try Garabato, Onno's or The Room. Sometimes La Espiral 313 has interesting stuff, depends on the day. Social media is your friend- lots of places here advertise events on Instagram. There's probably a bunch of high end "discos" out there that I don't know about- I don't roll in those circles, preferring the Berlin-type club scene. If you can get more specific about your musical taste and tell me when you'll be here I might be able to help you narrow it down.
Also, I go out with my iphone in my pocket every day. Just don't wave it around, and use common sense like you would in any big city and you should be fine. Be aware of your surroundings. In touristy areas like la zona colonial you're probably safer to flash your camera and phone around than, say, if you're walking down a street in a barrio. That said, I have a friend who is a relatively big dude who got mugged for his nice watch in broad daylight on the street in one of the nicer neighborhoods. I'd say it's similar to Rio, although it's been about 15 years since I was in Rio! Good luck!