Same is true for windows, but due to prevalence of windows and the effort of MS (certified for windows program), most hardware tries to make itself work on windows. It also makes sense given that Windows still has 78.5% share in the market.

So, it is not that linux does not work with a lot of consumer hardware. It's that most consumer hardware cannot be bothered to work with linux and invests itself in working with windows.

There is also a factor in-kernel vs out-of-kernel drivers.