That is somewhat of an unfortunate myth. Computer security is not a matter of withstanding force (where "adding an additional wall" might help) but one of correct logic. One of the best ways to achieve the latter is to get rid of unnecessary logic altogether. AV software does the opposite: It adds tons of more logic that gets into contact with untrusted data, and thus adds exploitation risk to the system (aka "attack surface"). Also, there is a very specific reason why AV really is more an annoyance filter than a security measure: It's a blacklist.

For some practical examples for why AV is risky, see also:

https://lock.cmpxchg8b.com/sophail.pdf https://lock.cmpxchg8b.com/sophailv2.pdf