Recent testing revealed that Arch Linux, Pop!_OS, and even Nobara Linux, which is maintained by a single developer, all outstripped Windows for the performance crown on Windows-native games. The testing was run at the high-end of quality settings, and Valve's Proton was used to run Windows games on Linux.
On Linux, you run windows programs through wine, which is an additional layer that can theoretically slow down the program.
Also, windows supports certain constructs like io completion ports or WaitForMultipleObjects that historically haven’t been emulated efficiently on Linux since it lacked comparable primitives, although those specific ones have been greatly improved in recent years with io_uring and FUTEX_WAIT_MULTIPLE.
There have been similar issues with direct3D since wine used to have to emulate it in OpenGL, but with vkd3d, wine has more opportunities to efficiently implement the d3d apis.
Basically wine being slower was the norm until quite recently.