This is the key point.
Ancient world ships were completely dependent on the land for safety - it was rare to spend more than a few days at sea.
Ships should undertake short journeys, as short as possible, and end the turn in a friendly port whenever possible. When transporting armies a long distance, hop from friendly port to friendly port if you can. If you have no friendly port near enough, travel only a very short distance, leaving lots of movement points unused - so if you are attacked by stronger pirates, your surviving fleets will be able to retreat a very long way and outdistance the pirate pursuit.
Alternatively, hug the coastline as you travel, and land your army off your ships onto the nearest shore at the end of every turn, so that if your ships get attacked and sunk you won't lose your army along with your ships. You can always reembark the army and continue your journey at the start of the next turn.
Basically, unless you have a very powerful fleet strong enough to defeat almost any attacking pirates, don't behave like you own the ocean - you don't. Be cautious at sea if your fleet is weak.