It depends on the user's behavior.
Windows is extremely susceptible to people who open spam emails, double-click an attached file, and click away that UAC prompt so they can view
Windows is also very susceptible to people falling for malicious "you got a virus, install our tool to remove it" advertisements.
A phone makes it easier than Windows to download apps which use unethical-but-legal exploits, usually gambling/addiction based in app monetization. Some people will claim that has nothing to do with security, but if the user suddenly loses $1000 without realizing, that should be considered a security issue.
A phone is far more likely to be on an outdated OS version with known critical vulnerabilities.
Windows is more likely to run sophisticated Anti-Virus software, which will also provide some protection against some other attacks, depending on the specific AntiVirus software.
If the risk of data corruption is considered a security concern, some phones with some SD cards are more susceptible to random file system corruption than an average Windows machine.
Phones often have superior built-in backup solutions compared to Windows, which will addresses some security concerns.
Phones are more likely to be lost or stolen.
There are some malicious websites that grab phone numbers of the visiting device, and then falsely state you subscribed to a premium SMS service. Only works if the service provider cooperates with the scam, so it depends on your country and service provider.
The above list is incomplete, and everything on the list can affect both phones and Windows machines, but statistically speaking each of them is more of a problem on one platform than the other. Many of the issues can also be specifically addressed with settings, 3rd party software, or user education.
In conclusion, it's close enough that the difference in security can be ignored when deciding which device to get. More relevant arguments are form factor, user preference, and Windows Update's tendency to reboot the PC without asking.