Windows can’t read “Linux” file systems (such as Ext4 or XFS) by default because it doesn’t ship with drivers for them. You can install software such as Ext2fsd to gain read access to Ext2/3/4 file systems.
Linux can access FAT file systems because the kernel has a FAT file system driver, and most distributions enable it by default.
There are cases where Linux distributions won’t be able to access a Windows-formatted USB key by default: large keys are typically formatted using ExFAT, and the Linux kernel doesn’t support that. You would have to install a separate ExFAT driver in this situation.
There’s nothing inherent in Windows or Linux which limits their ability to support file systems; it’s really down to the availability of drivers. Linux supports Windows file systems because they are very popular; this then provides a common basis for file exchange, meaning that there is less need for Windows to support Linux file systems.