That's totally a matter of preference. Being a security guard could be a safer choice than being a policeman but you might not get as much personal satisfaction if helping the public is what you desire.
Being a security guard is a low pay highly risky position that you can be shot, beaten or just insulted without the means to defend yourself. A security guard usually has no power to arrest, unless it is on an account, but that is still questionable. As a police officer you are more flexible and better equipped to care for yourself and the rest of the public.