First of all, linux does run executables - duh... (whoever wrote, it doesn't AND claims to be linux admin should go back to filling plastic bags at wal-mart).
Secondly, with the emergence of android + it's popularity there WILL be people exploiting that system, just like it happens on Windows.
Thirdly, there is a proof-of-concept rootkit for Android, recently published a the BlackHat conference in Las Vegas, and yes, that one IS a threat.
So if there is Anti Virus software available, using it is recommended, since that malware can be easily contained in any app (aka executable) you get, even the ones from the Market.
And a word to all those "linux experts" in the previous posts: If you dont have any clue what the heck you're talking about, then shut the hell up and stop spreading false information!