This is mostly coincidental history. A lot of teleprinters used to require that CR+LF was sent for largely mechanical reasons, and Windows was made similar to MS-DOS which was made similar to CP-M which had been built for these kinds of devices.
Unix, on the other hand, was made similar to Multics which had the clever idea of on-the-fly replacing a line feed with whatever the printer required. So text files needed only the LF, and a CR was added automatically if the printer required it. This had its upsides and downsides, but the major upside was that you could print a text file on two different systems and reliably have it come out the same way!
This is one of the reasons that in e.g. C, the '\n' character is somewhat awkwardly defined as "a one-byte number that will move the cursor to the start of the next line", when on some operating systems (Windows) this will end up actually being the two-byte CR+LF sequence (well, when output is in text mode...). Even around the time of C's development this was already an issue and newline translation magic was already required, the ancestors of Linux and the ancestors of Windows just happened to put that magic in a different place.
Unix, on the other hand, was made similar to Multics which had the clever idea of on-the-fly replacing a line feed with whatever the printer required. So text files needed only the LF, and a CR was added automatically if the printer required it. This had its upsides and downsides, but the major upside was that you could print a text file on two different systems and reliably have it come out the same way!
This is one of the reasons that in e.g. C, the '\n' character is somewhat awkwardly defined as "a one-byte number that will move the cursor to the start of the next line", when on some operating systems (Windows) this will end up actually being the two-byte CR+LF sequence (well, when output is in text mode...). Even around the time of C's development this was already an issue and newline translation magic was already required, the ancestors of Linux and the ancestors of Windows just happened to put that magic in a different place.