Apart from the obvious reason, possible problems with compatibility of certain gems, database servers etc., there is another, perhaps more subtle one:
There is a cultural difference between Windows folks and *nix folks, reflected in many ways, from the way we perform everyday tasks (such as searching for files on disk, or searching for a string in files), the way we set up and administer the system, to what do we picture when someone mentions "an application".
Ruby comes from the second camp, and while it runs perfectly on Windows as well, it somehow reflects the world it's been born and maintained within. A banal example would be irb
. To someone used to a command line interface, irb
is absolutely natural and comfortable tool. Command line does exist in Windows world as well, but it's really pretty hidden and usually the interface for the last resort. Whole set of Perl-isms was borrowed by Ruby, and Perl was created as a Unix scripting language.
So, in my opinion, picking Linux as a development platform could make you a better Ruby programmer, simply by forcing you to adopt the cultural guidelines of *nix world.