Linux is supposed to be the safer. But if you don't know very good to setup your OS you will miss something. Even if you know what to do you have a chance for making errors, or not update some vulnerability in time, or whatever.

The safe setup is the offline setup. Learn to use cold storage, it can be set up with one USB stick or external HDD if you don't have a spare computer. Just keep in mind that the system should (absolutely) never go online.
Or, if you want convenience or you're not tech savvy, just buy a hardware wallet.