tar format nor the
gz format has built-in support for password-protecting files.
zip format combines several different piece of functionality: compression (e.g. gzip), archiving multiple files into one (e.g. tar), encryption (e.g. gnupg), and probably others. Unix tends to have individual tools, each of which does one thing well, and lets you combine them.
The Unix equivalent of a password-protected
.zip file would probably be called something like
And there are open-source
unzip tools for Unix, though they may not provide all the capabilities of the Windows versions (I'm fairly sure the newer
.zipx format isn't supported).