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 this package as easy as pie with
wp package install https://github.com/markri/wp-sec/archive/1.0.1.zip
Please double check if this is indeed the latest tag available