You absolutely will need anti-virus software running on the Windows system, unless it is used in complete isolation (ie, no internet access and no files transferred to it from other Windows machines).
If you're asking if the Mac system will also need anti-virus, there's nothing about running Windows on your Mac that makes the Mac more prone to getting malware. Macs can't get infected by Windows malware. So that decision needs to be made independently of the Windows system. See my Mac Malware Guide to help you decide.