Supporting reliable and seamless wireless connectivity for unmanned aerial vehicles (UAVs) has recently become a critical requirement to enable various different use cases of UAVs. Due to their widespread deployment footprint, cellular networks can support beyond visual line of sight (BVLOS) communications for UAVs. In this paper, we consider cellular connected UAVs (C-UAVs) that are served by massive multiple-input-multiple-output (MIMO) links to extend coverage range, while also improving physical layer security and authentication. We consider Rician channel and propose a novel linear precoder design for transmitting data and artificial noise (AN). We derive the closed-form expression of the ergodic secrecy rate of C-UAVs for both conventional and proposed precoder designs. In addition, we obtain the optimal power splitting factor that divides the power between data and AN by asymptotic analysis. Then, we apply the proposed precoder design in the fingerprint embedding authentication framework, where the goal is to minimize the probability of detection of the authentication tag at an eavesdropper. In simulation results, we show the superiority of the proposed precoder in both secrecy rate and the authentication probability considering moderate and large number of antenna massive MIMO scenarios.