It can still corrupt files. I knew that wine was the shut when I had to delete my wineprefix because Eve Online complained about corrupted file. Even better, a virus scanner would run and detect the malware.
technically that is only true if the malware in question does something in the kernel or relies on an unimplemented wine api call, since a lot of malware is an infostealer or ransomware, its quite likely that it'll work just fine under wine