Well, it depends on 3 things: Drivers, desktop composition, and the amount of bullshit you want to deal with.
Drivers: If you're on an ATI graphics card, you will most likely get FAR more performance out of Nexuiz on Windows than on Linux. This is simply due to ATI graphics drivers being absolutely horrible for Linux. Also a note, some mice don't play well with Linux. On Linux with default mouse drivers in e.g. Ubuntu, it uses a low DPI (Not very smooth) by default, which makes gameplay pretty bad. The only way to fix this is to #1: Force the high DPI, or #2: Install mouse specific drivers. Both of those usually don't end well.. Especially for Logitech mice. Microsoft mice are fine with #2, and usually become smooth after this. On the Windows side of things, the mouse is very smooth as it uses a wide range of drivers suited for many different mice by default. Windows also provides the manufactures drivers under optional updates, if the default drivers aren't good enough for you. For me, Nexuiz seems to be a lot smoother on Windows (Both XP and 7).
Desktop composition/window manager: This can be bad on any OS while running a game. Aero impacts performance a lot while running Nexuiz, however, Vista/7 automatically turns off Aero while a game is running in fullscreen (Aero doesn't impact performance at all while outside that mode).. So this isn't a problem with Windows. However, Compiz Fusion or Beryl is very bad on Linux. For one, if you have any effects or window attributes running, it messes up the frame rate badly (e.g. transparency). Also i've noticed, Compiz Fusion fucks up Nexuiz' frame rate BADLY when a tooltip shows up (Or if you're using twhirl, a new tweet tip). It brings it down to ~20 fps when I normally get 400 fps. So again imo, Nexuiz is better on Windows.
Etc etc etc: Nexuiz seems to have more problems on Linux, such as audio disappearing (Fuck you pulseaudio), Nexuiz crashing due to compiz trying to move it to another virtual desktop (Doesn't happen anymore, but it used to be a big problem).
This is just my experience with Linux/Windows with Nexuiz, but if you notice no difference/problems with either one, then by all means don't switch just because someone told you it's better.