Froggy actually comes with good points here.
Lots of anti virus software take a fuckton of RAM and CPU for itself, and since you absolutely need such software AND you want to play a game online I assume you're using Windows, which is by a long shot the most bloated desktop OS ever created, effectively leaving way fewer RAM and CPU available for that one game you want to play.
And maybe you want to record or live stream it, and even more hardware resources get wasted.
However, don't say that because I'm on Linux I'm automatically virus-free, because that's absolutely not the case.
In fact, I do have a firewall installed just in case, I only don't run an anti malware app because most Linux anti malware software only block Windows viruses (useful for public servers and those who use Wine though), and I mostly go by common sense (don't click any short URLs, have extensions installed like Privacy Badger (which by the way blocks around 10 trackers on this very site as we speak), adblock, etc. to remove lots of potential malware, etc.).
Only scammers are a bit of an exception, but I call them on purpose to just waste their time so that they can't make any real victims during that time.