All software has vulnerabilities. GNU/Linux systems are not different in terms of having bugs or certain configurations that lead to vulnerabilities.
Windows has been in the spotlight because of its much larger desktop install base, which usually is an "easy way in".
Not wanting to start any type of war about which is better, one could argue that because of the Open Source nature of GNU/Linux, there are many more eyes on the code to find bugs which should lead to more secure systems, from that perspective.
What exactly are you trying to do? Using it as a desktop or server system?