To put it the other way, you can do it in linux, but it's not as easy as on windows.
Installing all this on windows is way harder than linux, but many peoples worked to make it a nobrainer and one click install.
Until recently, the people using Linux where more inclined in technology, and to learn another way of doing. Most linux users didn't mind getting down under the hood to install all of this and configure it.
I personally find it easier today on Linux, because xampp has some limitation that are inherent of the structure choose at the beginning.
You can overcome them (I think virtualhosts here), but you have to manually edit text file, modify the apache configuration and setup db, just like you would on linux.
In the end, it's really not that hard:
1)install apache
2)install php
3)install mysql and the
mysql query browser (why bother with phpMyAdmin locally?)
4)create a virtualhost in apache (eg: myForum.dev)
5)edit /etc/hosts to redirect your virtualhost domain to your local server (127.0.0.1 myForum.dev)
6)setup the mysql db and the access rights
7)do an apache graceful reload to apply the new virtualhost
8)start coding
Honestly, it's not that much.
You cannot totally circumvent a little bit of sysadmin if you plan to setup an hosting environment (even locally).
If you replicate the xampp setup, you can do with 1 virtualhost (default is /var/www/localhost/htdocs on my gentoo machine) and you can skip the point n°4 , n°5 and n°7