There are several things
you should be aware of when comparing such things.
Linux is usually more open about the number of threads started by Java, often even listing them as if they were separate processes. I am not aware that an appllication on Linux typically starts more threads or processes than an equivalent one on Windows.The "X Windows" GUI on Linux was designed from the start as a system to allow the UI to be split between several machines, rather than a single closely-coupled graphical console like Windows. This often has the unfortunate upshot that local GUI applications take longer to start up, because of a more complicated approach. Once initialisaed and running, or for non-GUI applications, I often find that Linux is actualy faster.Linux systems (and Unix systems in general) are often running a lot more programs at once than a typically configured Windows system. What is running depends largely on the choices made by whover built your Linux distribution, but also by later choices to start/stop "daemons". In my experience a Windows box being used for nothing else is indeed often faster at starting up and completing small GUI applications than a Linux box where the installer has accepted the (typically inclusive) installation options.
Also in my experience, a Linux box being used for nothing else (ie, with only one user logged on and all the web servers, mail servers, DNS servers and so on switched off) is often faster at executing longer-running or non-GUI applications. This is one reason why Linux is so often the platform of choice for server applications.