It's can be traced back to the roots of each OS. Windows has it's heritage in the land of DOS where files had an 8 character name with a 3 character extension and that extension carried meaning for the OS.

Linux being of Unix ancestry which had no such concept as a file extension. It was the responsibility of the application or kernel to discern what type a file was. Typically by the first few bytes of a file and handle it appropriately.

I personally am a fan of the Unix way but I can see why some might prefer the DOS convention.