That is not a real client. That is just a scammer who wants to steal your money. Click on "Flag as inappropriate" to report him and get your connects back.
There is no such thing as a "security fee" paid to clients.
Clients pay money to freelancers.
Freelancers don't pay clients.
Hope you are a freelancer and you are talking about some of the buyers / clients posted a job and in order to award you the job, they are asking some amount to transfer to them, right?
Never do that. There is no such option in Upwork to make a so-called security deposit.
Infact they will have to escrow the amount to start the project.
Seems this is a SCAM. Report it to Upwork.
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