This is like arguing about the odds of an IED (Improvised Explosive Device) killing you based on the brand of vehicle you're driving. If you have territory which is denied to your enemies, you don't have IEDs at all.
Both Windows and Linux let any old program tunnel into things and leave all sorts of crap wherever, as a default course of action. They assume that the user is the logical point at which security questions should be answered, which was fine back when it was just kids in CS101 trying to get their C programs to compile. However, times have changed, and now any program can take out a system (just like an IED looks like litter before it kills you).
Linux is no more secure than Windows in the big picture. They both lack capability based security, and thus both suck.
Capability based security isn't a magic bullet, it's more like being able to keep the enemy out of your territory.