By running Docker, you are introducing tons of more code that runs with root privileges. There are numerous privilege escalation vulnerabilities discovered over the years. Combined with the fact that root inside a Docker container is root on the host, you are increasing your attack surface instead of reducing it. It's the wrong tool to be using for security.

It's Linux VM on Mac, Linux, Linux VM on BSD, and Linux VM on Windows. I'm sure Qubes OS can run on VMs as well.

I mean for Windows, yes Windows containers technically exist, but no one uses them and therefore has no flourishing ecosystem.