Operating systems can function very different. When creating software (like video games) the developer has to understand or use software dependencies which interact with the OS in a number of specific (OS dependent) ways. Stuff like where is app/user data stored, how to connect to the internet, how to display stuff on the screen (2D), how to display complex 3D geometry on the screen fast (3D graphics acceleration), where the host OS stores shared libraries (and what kind of libraries can the software expect to always be available), what security restrictions the host OS has, what filesystem the host OS uses, how to access the keyboard and mouse, how to interact with the kernel (very important).

Since Windows and Linux are so very different, built for different purposes by different developers, it is impossible to take a Windows exe and run it on Linux.

These days, the WINE project, with help from Valve's fork Proton, is able to run basically any Windows game on Linux with similar performance (if not better because Linux is lighter to run than Windows). It does this by creating a environment for the software/game that provides all of the OS stuff Windows software expects and translating it to Linux specific things.

TLDR: Linux is very different from Windows. Software meant for Windows won't work natively on Linux (since everything is different). For Windows software to work on Linux, the WINE translates all the Linux specific OS stuff and creates an environment for the Windows software that feels like Windows. Most things work with WINE except exceedingly complex stuff, like browsers which have native Linux versions anyways.