1. You misconfigure the onprem software, making it more insecure than the alternatives. This does not occur with SaaS products.
2. The software delivery system is tampered with, and you download and run malicious code on your systems with high privileges. If you don't run it, this can't happen.
Cloud deployments aren't obviously safer, but they have clear advantages unless you are willing to pay top people to work on and secure each onprem deployment full-time.
NB: I don't actually believe "the cloud" is fundamentally more or less secure than onprem deployments. Rather, I frequently hear people argue that a website being hacked - or the potential for it - justifies a movement to onprem, and I think this is (usually) false.