Because you "just" need to emulate the hardware and a "small" API. I say "just" and "small" (using quotes) because I do not mean that doing such tasks is easy or they can do it quickly.

For Windows you need to rewrite a set of huge APIs with thousands of functions (Win32 API is being heavily used from Windows 95); a huge set of platforms (COM, registry, MSMQ, DirectX), so it is a very huge task. Wine project has done it successfully but it is still no compatible with .NET (though to run .NET apps in other platform than Windows you could try using Mono).

See these interesting projects related to this topic:

http://www.winehq.com
http://www.go-mono.com