My recent experience switching from Windows to Linux (NixOS) suggests otherwise.

I use a ThinkPad P1 Gen 3. My dGPU actually died due to overheating caused by Windows failing to sleep properly. On Windows, the fans were always noisy and temperatures stayed above 60°C.

Since switching to Linux, the fans are very quiet and temperatures sit between 40–50°C. What surprised me most is that sleep mode works much better on Linux than on Windows, where the frequent failures eventually killed my GPU.