Horn does not work even when I try to set security

more then likely it's a door ajar switch - not a sensor .
Anti-Theft- Perimeter Alarm System
The perimeter anti-theft system provides for vehicle security through an audible and visual notification if the vehicle's exterior is invaded without the system being shut off. The system self-arms when the doors, liftgate and hood are closed and the key is OFF. Any open door, hood or liftgate will prevent the system from arming. The hood ajar switch, door ajar switches and liftgate ajar switch cause these circuits to register as normally closed circuits. The vehicle security module monitors the status of the hood ajar, door ajar and liftgate ajar switches. If these circuits indicate an open entry point, the switch opens the circuit to the vehicle security module, which energizes the horn and autolamp relays (causing the horn to sound and the lights to flash). The vehicle security module turns off the anti-theft system when it receives a command through the keyless entry keypad, remote keyless entry (RKE) transmitter, or anti-theft alarm inhibit switch.
https://www.youtube.com/watch?v=egIGBzO065U

Vehicle security system is malfunctioning. Need to k now if it is aftermarket or factory unit

It sounds like you have a factory security system. Even if it is aftermarket they sometime t need to be reset. First find out if the security system has a balance system. This will set off a horn or alarm if the vehicle is rocked or moved. If not, try resetting by unlocking all the doors with remote. Disconnect the negative cable and leave it off for a few minutes. Then reconnect it and start the engine, turn it off and lock the doors and wait. Beyond this I have nothing further

You do have a security system. This should be transponder type security system, I don't believe it will start without key fob. There is an inhibitor relay for your starter motor circuit and security system. Check for applicable trouble codes, if there are any? Maybe you local dealership, talk to service department, see if they can get you a key fob. Go at it that way. I don't know about the cost?
You can usually jump the starter motor to see if it will crank the engine, but, that doesn't mean it will start. If you try that, make sure tranny is in park or neutral and parking brake is set. Safety is your responsibility.

Try unhooking your battery for about ten mins. This might reset your security system. You might also try locking all the doors and then unlocking with the key.

Before replacing any Relay. Try disconnecting the negative side of the battery for at least 2-minutes to de-energize the security system, re-setting itself. The reconnect the battery and try your security (and options) system again.
The only other big question that you will have to know: is this a factory installed security system or an aftermarket security system? This makes a difference in security systems, relays etc.

this is most likely due to a defective door open/ajar sensor, it is not related to the horn pad/airbag, this happens during hot days from horn pad warping due to heat, have the driver door ajar switch replaced.

sounds like the immobiliser, like you did,nt connect the immobiliser block,a cable with 3 wires,look carefully you may not have noticed & plugged it in. all the leads connected to the battery may not be correct. car thinks it,s being stolen.with fords you need to use the original key(red dot on it)to activate security settings,good luck leave key out of ignition,that may work

If it is a factory (OEM)security system. Go to passenger door and lock/unlock 2 times to clear/reset fact security system.