To me, the difference is, while sex tempts me to think of the immoral, violence (including the murders and cutting up people in Scripture) never tempts me to think about killing someone. The sexually explicit leads my mind toward immorality, the violence doesn’t.
People are different. Anyone with a tendency toward violence—and certainly that can be furthered by watching violence—should NOT watch shows with violence. The other danger is whether some people are desensitized to violence. I find my abhorrence of real life violence has not been diminished. But if that happens to someone, and I’m sure it does, they shouldn’t watch violence.
The larger question of whether people should be entertained by shows that contain crime is an interesting one. Should a Christian read (or write) a murder mystery? I think in some cases, yes, in others, no.