Installing the wp-sec package requires WP-CLI v0.23.0 or greater. For a fresh install of wp-cli look here Or update to the latest stable release with wp cli update.

Once you've done so, you can install wp-sec.

Unfortunately the wp-cli satis repository isn't much updated anymore. So the easiest way to install the wp-sec package is to download the latest zipball from here and install it locally with wp package install <version>.zip.