Is my ISP correct, do I have to use their hardware?

Currently live in Cyprus, so fiber isn't available everywhere yet. Also I'm a noob at all of this.

Best service I can find for the same price I'm paying is 100 down and 20 up.

ISP says I have to use their modem, but I can use my own router. Is this just something they're saying, or can I switch it out for a better one and they won't know the difference? Or is this not something anybody can answer.

I know it wont affect the price either way, which I don't really care about. It's more about security and getting the most out of my connection.