No widely-used operating system is secure (well, maybe OS on XBox360 is an exception). All of them are guaranteed to have unpatched exploitable holes.
However, if we treat security as a continuum then Windows with an antivirus is more secure simply because more layers of security.
Right now once a program gets root access on Linux - it's game over. It can do whatever it pleases with the kernel and the system. Antivirus programs on Windows at least try to defend system from such attacks and working around them is definitely not trivial or simple.