Every OS has bugs and vulnerabilities, some more, some less. It's a rather simple fact that malware creators will attack the platform with the largest market share because larger market share, more potential victims.
Malware creators might be choosing Windows as their primary target, but Linux isn't a "nerd's operating system" anymore. Android is based on the Linux kernel. Most web servers run on Linux. Exploiting a vulnerability in Linux could potentially lead to a more lucrative and advantageous disaster compared to targeting Windows.
"Don't trust, verify". If you don't know what's running behind Windows, how can you be confident it is secure?