This seems rather intuitive to me, but it's asking a slightly different question than what the original phrasing might seem to imply.
I think the initial intuition that more risk means more value of reducing risk, comes from the natural idea that effort spent reducing a particular risk will reduce that risk proportionally. So, spending effort on reducing risks from car crashes, malaria in Africa, or heart disease, all else equal, we yield more value than spending comparable effort on reducing the risks of bear attacks. I guess this is the "importance" part of the ITN paradigm.
But of course, the benefit of reducing the risk of car crashes is lower if we are facing other impending doom. Let's say we see an asteroid coming toward the Earth, or the threat of incoming nuclear war is high.