How do I get this guy to be more comfortable with things I like to do?

I’ve been seeing this awesome guy, Alex for about two months. I’ve never met anyone who is as much fun to be around as him. He’s just talented at everything. I have gone skydiving, snorkeling, bodyboarding, jet ski, and more with him. I have seen so many places with him. He’s also a really sweet heart.

Today Alex told me that he has decided that he can no longer see me because I like to drink and go to clubs and bars few times a month.
I know Alex have a serious issue with alcohol and bars or clubs environment. His father was a alcoholic who have quit only to go back a few times. So now he looks at any sort of pattern in drinking (even one time a week or so) as a beginning of alcoholic problem!
I drink because it helps me relax and I have a lot of stresses in my life. But I never get drunk, I just like to get a bit tipsy and let loose. Alex looks at that as me relying on alcohol and a beginning of problem! I tried to explain that I have been doing this for a while and he says his father was the same when he first started!

Also Alex’s ex girlfriend got drugged in a bar and end up got raped later, family’s friend got shot in bar few years ago, and many other bad experiences with anything related to bar or club even though he have been in bars only a few times in his whole life.

I begged Alex to come with me and few friends just so he can see that it isn’t necessary all that bad and scary. I even promised him I’d stop drink if he’d just come and see why I enjoy it.
He did come with us on Thursday. It was awful from the time we parked to leaving! When he saw that they pat people down before they enter, he quickly moves his pocket knife into front of the belt buckle so he can smuggle it in! Once inside, he was starting to sweat and very alerted even though all of my friends were around him and trying to help him have a good time! It eventually made everybody really uncomfortable and ruins the mood.
Eventually when a guy we know surprised me by approaching me from behind and tried to dance with me because we usually dance before I even met Alex. He caught me by surprise so I jumped, but before I even could see who it was, Alex have his hand on the knife right away! I have to stay in front of him and tell him everything is ok. Finally few of my friends told me it is useless and to take him home! So I did.

I was really disappointed! I thought he’d at least see that it isn’t a bad place and he ended up nearly killed someone!

I really don’t want to stop seeing Alex, but I know he needs to be comfortable with me going to clubs and bars and drinking! But Alex says it isn’t going to work out!
How can I get him to see that things I do aren’t as bad as he thought or I’d have same experiences as people he knows did?

It's just not something he's okay with. Trying to change him isn't the right approach. If you stop going out, you will resent him for it, if you continue going out, he's not going to stay with you. It's only been two months, so you should just consider yourselves incompatible and move on...like he has.

On a side note, stop trying to downplay your drinking. I have no problem with drinking, and get really drunk myself, but I have no problem admitting that I like to get drunk. "Getting tipsy and letting loose", is getting drunk. Stop lying to yourself. When you drink, you get drunk, and you like it. Nothing wrong with that, just don't try to downplay it so you feel more compatible with this guy than you are.