The simplest one i can think of is that if your development environment, and the deployment environment are similar, you have an easier time pulling in dependencies. If its a self contained project its fine, but in many web based application its necessary to pull in external dependencies - ask your lead dev about what external libraries they use, and how they are updated
Many developers also have a preference for tools that might be in one OS or another - possibly your other developers are fans of Vim or Emacs, for example, or use a cli source control system client by preference.
Of course, you could get the best of both worlds with a VM (or a seperate linux server), and/or the use of putty and smb to do file shares.
At the end of the day though, you need to be comfortable with your basic set up. Start working in windows - find the actual issues you face in the environment, and figure out how to get around them.