Yes.
There is the simple fact that linux has been much more optimized for scientific tasks than windows, its free, you can modify it, and it runs in 99-98% of all supercomputers. Of course there is going to be more work towards that.
then there is the fact that windows has much more tasks to do when idle (not really that important for gpu computing).
Last but not least, there are some applications such as TN-grid that just dont run natively on windows or run very slow and have to use mingw, which brings the linux family of oses way of interacting with programs to windows, and its slower than doing it natively on linux, obviously.
If you have any numbers to share of actual performance comparisons I would be interested.