Being a very experienced game developer who tried to switch to Linux, I have posted about this before (and gotten flamed heavily by reactionary Linux people).

The main reason is that debugging is terrible on Linux. gdb is just bad to use, and all these IDEs that try to interface with gdb to "improve" it do it badly (mainly because gdb itself is not good at being interfaced with). Someone needs to nuke this site from orbit and build a new debugger from scratch, and provide a library-style API that IDEs can use to inspect executables in rich and subtle ways.

Productivity is crucial. If the lack of a reasonable debugging environment costs me even 5% of my productivity, that is too much, because games take so much work to make. At the end of a project, I just don't have 5% effort left any more. It requires everything. (But the current Linux situation is way more than a 5% productivity drain. I don't know exactly what it is, but if I were to guess, I would say it is something like 20%.)

That said, Windows / Visual Studio is, itself, not particularly great. There are lots of problems, and if someone who really understood what large-program developers really care about were to step in and develop a new system on Linux, it could be really appealing. But the problem is that this is largely about (a) user experience, and (b) getting a large number of serious technical details bang-on correct, both of which are weak spots of the open-source community.

Secondary reasons are all the flakiness and instability of the operating system generally. Every time I try to install a popular, supposedly-stable Linux distribution (e.g. an Ubuntu long-term support distro), I have basic problems with wifi, or audio, or whatever. Audio on Linux is terrible (!!!!!!), but is very important for games. I need my network to work, always. etc, etc. On Windows these things are not a problem.

OpenGL / Direct3D used to be an issue, but now this is sort of a red herring, and I think the answers in the linked thread about graphics APIs are mostly a diversion. If you are doing a modern game engine and want to launch on Windows, Mac, iOS, and next-generation consoles, you are going to be implementing both Direct3D and OpenGL, most likely. So it wouldn't be too big a deal to develop primarily on an OpenGL-based platform, if that platform were conducive to game development in other ways.

I would be very happy to switch to an open-source operating system. I really dislike what Microsoft does, especially what they are doing now with Windows 8. But today, the cost of switching to Linux is too high. I have a lot of things to do with the number of years of life I have remaining, and I can't afford to cut 20% off the number of years in my life.