[riverkid]

Google has a number of examples of 'worry for themselves'

Results 1 - 10 of about 93 English pages for "worry for themselves"

But again, the meaning is different.

"Don't worry for me" allows us to say "Allow me to do my own worrying about my own problems".

Changing it to 'about' doesn't allow us that potential meaning.

I think that you'd agree that a greater volume of use for one collocation over another doesn't preclude the availablilty of the less common one.