I am starting to study Information Security. Why do I need to use a linux distro other than Windows OS?
The only person who knows the real answer is your course instructor, so any answer to this is going to be opinion.
According to wikepedia, combined total of all devices in the world:
Device shipments, 2015
* OS Device Shipments, Gartner
Assuming that's representative of devices shipped since 2015, then 11.8% of the devices in the world are running Windows, wile the other 88% are running some sort of linux or unix. Remember that this isn't just computers, but phones, servers, routers, wifi-enabled toothbrushes and bathroom scales, etc. Those are all things that require security.
For servers it's even more dramatic (from the same wikipedia page)
W3Cook survey, May 2015
Linux Servers: 96.6%
Windows Servers: 1.7%
* W3Cook checks the top one million web servers monthly, taken from the Alexa ranking, using HTTP headers, DNS records, and WHOIS data, among other sources.
You can't protect what you don't know
From the way you word your question, I'm guessing you have only been exposed to Windows in your life.
Being able to protect something requires having deep knowledge of how that thing works. How could you hope to have a successful career in security if you're only familiar with 11.8% (or 1.7%) of the technology being used?
Since the internet fundamentally runs on Linux, good for your instructor for introducing you to something new.