I think it's a myth created largely by corporate America that millennials don't care about job security. Every millennial I know would love job security, but corporate America simply does not offer it anymore. So here we have an example of corporate America perpetuating a myth to cover the fact that they treat employees as disposable commodities.
Yes, I do think it's true that millennials are more focused on keeping their skills "market ready," but I also think the reason for that is that they know they can't trust any one employer to offer longevity.
This mindset started back with Gen X, a generation that grew up disillusioned with corporations and government entities because they watched their parents get screwed over by them.
Found this on another forum, but with all the talk about older versus younger employees and age discrimination here, I thought it fit well.