If you set up a multi-sig wallet online, with all the keys and seed phrase generated and stored online, it is easier for an attacker to steal your funds than when you use a single signature wallet in an open source hardware wallet, or when you set up your own air-gapped single signature wallet.
Multisig wallet, with the seed phrase generated online on different devices, that is safe because it has more keys. But the wallet owner(s) must be conscious of malware. He/they must also backup the seed phrases and master public keys appropriately. If you generate the seed phrase offline, you added to its security. Backups should be offline. Multisig is a means you can have safer online wallet setup on different devices.