Not 100% true, there certainly is malware for Linux. It's nowhere near as common as Windows malware but it exists. One big difference between Linux and Windows is that as I understand it, Linux is much quicker about fixing the vulnerability that allows the malware to do its dirty work. Windows has to be careful that their fixes don't break too many of the thousands of Windows programs. There aren't nearly as many different Linux programs to break, at least on the desktop.