Well, you would have to define " safe" .
The main reason that linux is " safer" is that not everything has full control over your machine, only root has. but of course, if you're not being careful with root, you can fuck yourself over faster than the time it takes to say "WAGAZUZU".
It's a very long thing to explain, and it boils down to the way the OS has been made, and how users can interact with the system.
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when someone asks for your username and password, and much *clickely clickely* is happening in the background, know enough that you should be worried.