Actually, there are a number of exploits for Linux that are worth scanning for (and of course, the ones we're not aware of) so it's always worth being at least a little paranoid. The chances of getting infected/hacked on Linux in this way is pretty low because it's just simply not a common enough target and, even if it were, it's still harder to exploit generally because of all the variations of the kernel, drivers, distributions, etc. Operating system monoculture is bad... the very thing Microsoft tried to attack about Linux (maybe you remember the MS ads with the penguin bodies and other animal heads, poking fun at the Linux mutations and kernel customization!) is, in fact, a strength.

That being said, it's still a good thing to use a scanner even though the chances are low that you'll get infected--but you're mainly just trusting that someone isn't targeting your platform, not that it's just that strong.