What was so dangerous about a bathhouse? Roman bathhouses had a hot room, the caldarium, which was built on pillars. The area below the caldarium, called the hypocaust was connected to a furnace and heated the floor of the caldarium. If the floor of the caldarium collapsed, the bathers would fall into the hypocaust and die.Plus, strategies for outwitting the Satan.
This was a real danger as is apparent from the continuation of the talmudic passage: Rabbi Abahu entered a public bathhouse and the floor beneath him gave way. Fortunately for Rabbi Abahu and the other bathers, a miracle happened and instead of falling into the hypocaust below, he was left standing on one of the pillars. From that perch, Rabbi Abahu managed to save 101 men with his one arm.
UPDATE: Reader Sarah Roberts e-mails:
Mention could also be made of the statement in Irenaeus via Polycarp of Smyrna regarding John of Ephesus encountering the "heretic" Cerinthus in a public path: "Let us flee, lest the bath fall in while Cerinthus, the enemy of the truth, is there".Yes it could. I hadn't thought of that one.