if you don't, and you don't do webbrowsing from inside windows then I can't imagine the need for anti-virus.
90% of attacks are trojan horses (fake/embedded pirated software usually) and the remaining 9.9% is browser attacks.
I doubt anyone is defeating your firewall/NAT box to get a direct connection to your windows machine, and even if they did they'd have to find a service they can exploit.
What are you using to run the VM? I've always had issues integrating the host and guest VM nicely in Windows - getting copy-paste working properly, resizing the window, etc.
I don't think it will be much longer until I actually make the switch.