This is one of those straw-man arguments that keep popping up. And I feel the need to keep playing Whack-A-Mole.
No one has said that Linux is immune to security threats. Linux and other Unix-type operating systems have an entirely different architecture than Microsoft operating systems, even the new ones. And the developers of Linux and other Unix-type operating systems have different programming standards, and different distribution methodology and a host of other differences that set them apart from the Redmond software library.
These differences together make for a much more hostile environment for malicious code than the Windows code. And Unix-type operating systems are designed to respond better to failure modes.
Unix-type operating systems tend to run system-level processes not with just one super-user account, but with a separate account for each system process. One process cannot directly access another. Only the super-user has access to everything, and many modern Linux distros yell at you if you try to run as root.
So, even if there are the same number of attacks there will be less actual damage due to the way that Unix-type systems are different.
There have been Linux worms. In fact, there has been one fairly recently. And it did very, very little. It affected a fraction of 1% of installed Linux systems.
How does a current Windows worm, say Nimbda or Sasser, compare?
With Unix-type operating systems, having multiple users on a single machine was an essential design element, and the security required for such processes were built in from the beginning.
With Windows, multi-user was an add-on to Windows2000 Advanced Server.
Microsoft has still not learned that security is not a bag you hang on the side. It has to be built-in from the beginning.