For those who are wondering, yes, Wine is malware compatible so be careful about the EXEs you run!
GNU/Linux is Libre Software, so that already makes it more secure, because anyone can actually verify what it does and modify it if needed. This means that users are really in control of what the operating system does. It’s difficult to verify what Windows does, but we know that it contains spyware, which isn’t easy to remove.
Installing software from a repository is also safer than downloading it from random websites.
When some library like OpenSSL has a vulnerability, you will get a new version with system updates and all programs will start using that patched version. On Windows usually each program has to have its own update mechanism or it will be stuck with old libraries.