This old chestnut!
Whatever runs your application the best!
Which may also be, what you're most comfortable with.
Do note, however, that Microsoft themselves host some of the Azure applications on Linux where it makes better sense, even they do not stick to windows.
If it's open-source and runs on Linux, why take the burden of paying unnecessary Licenses.
If you are running .Net (.net is now open source) you may have less pain on windows, but the support and interoperability with Linux is getting better and better all the time.
I'd love to say that Linux is more secure, but security on both platform depends on how the admin set it up and what monitoring and intruder systems are installed and monitored. There are more solutions available for the windows platform!