How to download security update for Mojave 10.14.4

You don't. You have to update to 10.14.6. Security Updates do not start until after the final version of the OS is released, which was 10.14.6.

Here is the combo update for 10.14.6. I think you will then have to install the Security Update, but that should show up in Software Update, much as 10.14.6 should be there, too.

https://support.apple.com/kb/DL2010?viewlocale=en_US&locale=en_US