When it comes to security, the risk is the same I would say.
Both are just firmware.
If the bad guys find a way to overwrite the firmware with their own...
Both are doing the same.
Initializing the hardware and start the OS.
Main difference is that a BIOS is using 16 bit mode which limits the amount of code that can be read and executed.
While a BIOS has all code on the chip, EUFI is storing information in a file on a ESP partition on the drive.