Artists can use Windows / OS X in some cases, but given the main apps they use (Maya, Mari, Modo, Katana, Nuke) all run on Linux, there's no point really, and using Linux everywhere makes admin much easier and more consistent.
There are some apps that are used which are Windows-only (ZBrush), and so certain artists/modellers who need to use it will use that, but these are generally the exception.
And before someone says "that means they're not native" - well obviously, and anyway, they have their own theme which is quite dark, as artists don't like bright colours in an interface distracting them from the content or what they're doing.