Because companies choose not to support Linux. Some popular ACs like EasyAntiCheat support Linux, but game developers (e.g. Facepunch/Rust) choose to block it.

Sure, the Linux kernel will let you load any unsigned kernel modules you want...but cheating is still possible (and happens) on Windows, so...

(Granted, trying to stop someone from running code on their own computer is a losing battle/stupid idea from the get-go)