Is the safest place for your coins on the exchange?

With everyone banging on about getting your coins safe in wallets, would that not be the first place a hacker would look? Yes exchanges get attacked from time to time but if a hacker gets into the wallet network for a coin can they not do more damage?

With messages like, your encrypted wallet in not completely secure, malware can still access it, it really makes you think that surfing the net going to dogey websites you could actually do your more damage.

Would like some feedback on this please