That's because it is. Windows: do nothing, it's already installed. Linux: you have to install.
People compare what they have to do to get Windows on a new machine, which almost always (unless it's an Apple) already has it installed, with what they have to do to get Linux on a new machine, which almost always requires it to be installed. Even the simplest installer will be more difficult than "nothing".
If computers didn't come with any preinstalled operating system, the general opinion would be different.
(That said, most of the "Linux is difficult to install" sentiment is probably either based on outdated information from the time when you had to manually configure everything, or someone who had difficulties because of unsupported or poorly supported hardware.)