You are not alone. Many mongers believe that walking the bridge at night is exceedingly dangerous. I'm mostly an afternooner. But I do occasionally visit in the evening. And although I know many mongers adamantly disapprove, I usually (but not always) walk the bridge from the Zona, even at night. I think much of it depends upon how experienced you are in other urban jungle areas. Having grown up in one of the Eastern United States urban jungles, I find TJ in general and the trek across the bridge back to the border fairly easy. Here is my strategy:
As you are walking toward your destination, keep an eye out for others walking the same direction, especially groups of two or three. The probability is very great that they are going to the same place you are going to, namely the border (or downtown TJ if coming from the border). Try to walk behind or beside them at a non-threatening distance. If you need to, walk in front of them but this is not the ideal situation. You then can create a "convoy" of pedestrians. Nefarious individuals with bad intent usually try to find an isolated individual. This almost always works for me in TJ. If you can't find any, then consider taking a taxi. But supposedly, taking a taxi is not a guarantee of an uninterrupted trip. There are innumerable posts about mongers being accosted by TJ police as they are dropped off at the border.
Many other mongers warn about the TJ police. On occasions, I have deliberately walked up to them and asked a question about directions or whatnot just to practice my Spanish. So far, they have always treated me respectfully. (Of course, on my next sojourn, I'll be yet another mordida statistic, right? Isn't that how the world works?)
Finally, one of the best strategies is to simply have very little money left on your way back to the border, whether walking or in a taxi. My TJ wallet consists of my California driver's license and some money. My passport is in a different pants pocket and if I do have more than a few twenties, they are stowed in one of my socks. If someone threatens me, they can gladly have my wallet with its four one dollar bills and a single fiver. A new driver's license is only $12 and the picture on the new one can not be any worse than the current picture!