It depends, they are not the same so it's kind of comparing apples with oranges.
An utility token is like a coupon, it gives you right to a service or commodity. Utility tokens can also give voting rights. You can use it for different things like:
A security token is more like a normal security but instead the contract is made on the blockchain. You can get certain rights that you don't have with an utility token. Since a security token is a share in a company you can get dividend and get voting rights in the business and ownership rights. When you buy a security token you are a business owner while an utility token gives you rights to the services of a company.
Security tokens are very new. One of the few interesting projects i know of is Börser. You can invest in the shares of a holding company in the form of a "cryptocurrency" investment.
For more information you can join their telegram channel here: https://refer.bounty0x.io/tg/nkCa4ojB2sXBq8ArKMKB