At the end of the day, it's all about probabilities.
Which may well be based on pure speculation and imagination.
Which gives you more confidence: project behind closed doors with limited staff allocation and different priorities with respects to security, or a project maintained and tested by thousands with security and open disclosure being the focus?
Microsoft deserves a lot of blame but they have been very open when it comes to security holes, and have been so for a long time.
Besides, Linux kernel devs are now seriously considering to make at least some bugs confidential. Because the fact that all bugs are open has the side effect of spreading knowledge about possible exploits amongst bad actors long before fixes are available. There's a reason "Responsible Disclosure" (RD) where a bug is only reported to the developer and otherwise kept confidential for a certain amount of time, which is that by the time the bug is publicly disclosed there's a fix available so bad actors can no longer use this information for nefarious purposes. The current handling of security problems in the Linux kernel (and many other FOSS projects) runs counter to RD and actually hampers the overall security of the Linux kernel.
But that's not even the point.
The point is that the overwhelming majority of security flaws are actually found by sources *outside* the OS manufacturer/kernel developers, and are not found by reading source code but by behavioural analysis. This is also the case for the various security flaws in the Linux kernel, which all have been missed by those "thousands of eyes".
I'm sorry but the idea of that "thousands of eyes" are skimming linux code for flaws is naive at best. There's a reason why almost all security flaws were found by some security researcher, usually a member of the larger security labs. Because these tasks require a certain skill set beyond of that of an average developer (who is often oblivious to even the more basic security implications of his code). And the widely accepted procedure of RD makes sure that a bug, unless it's a zero-day, remains generally under wraps until patches are available - independent on the operating system or who makes it.
When it comes to Windows, I'd worry a lot more about the overall number of bugs and UX problems, the constant change towards SaaS and the siphoning of telemetry data than about security. Because security is the one thing Windows actually got pretty good in over the years.