It is because of Secure Boot. Windows is doing exactly what it is supposed to do. The UEFI Secure Boot keys are not part of Linux.
Your bootloader is the biggest attack surface on most modern computers. You can foolishly turn off secure boot, but windows may require SB to work at all. I think W10 may have had an option to turn off the SB requirement, but I know W11 must have SB.
You can manually sign your own keys and replace them. I'm not going to just explain it all rn, but you can ask if you really need the help.
If you want the easy path, just run any Fedora or vanilla Ubuntu. They both have a special key that is signed by m$ called a shim. It can coexist with Windows easily without any problems. I have a w11 partition just for adjusting my RGB keyboard sitting beside Fedora all the time on the same drive.
Secure boot is designed to delete all unsigned bootable code. If you run a signed OS with SB this will always happen regardless of what other software is present. Self signed Linux would delete unsigned Windows just the same.