I/O operations are super slow in WIndows.
There are many reasons why Linux gaming can be done better. It's not as bloated.
However, the tools aren't there. Native games work well, and so do many Wine games, but for example I can't seem to get rid of mouse acceleration in some Wine games. There is no RInput.exe either.
Emulators work better in Linux though. Such as RetroArch. It's pain to manage in Windows, and in Linux it's just few clicks away.