You can, it’s up to the software vendor to make it simple.
Most of the software are FOSS and can be installed directly from your package manager. That works like the iOS app store/Android Play Store except it existed 10 years before mobile stores.
Google Chrome is an example of proprietary software (so not in distributions repos) that is as easy to install on Linux than Windows. Because Google managed to get a deb that will also update your repos.
Bottom line, most of the time it’s way easier to install software on Linux than Windows (as easy as on iOS) but occasionally it’s slightly more complex.