This is incorrect. Google's own statistics (https://source.android.com/security/reports/Google_Android_S...) indicate that devices that use side-loading have an 8x relative higher incidence of malware compared to devices that only install apps from the Google Play Store.

(Note: I believe Google's absolute numbers are significantly underestimated due to the poor performance of Google Play Protect compared to other malware detection tools, but so far they are the only source I have found that publishes relative numbers between the Play Store vs side-loading.)

As some high profile examples:

- HummingBad infected 85 million devices primarily via direct-download on malicious adult websites. (https://www.zdnet.com/article/this-android-malware-has-infec...)

- Agent Smith infected 25 million devices primarily via a third-party app store. (https://www.theverge.com/2019/7/10/20688885/agent-smith-andr...)