I think you mean many chipsets are natively supported by the kernel, because the firmware/driver is part of the kernel package. I think there is no such thing as a device that doesn't need a driver to function, in any OS. Windows also includes many common drivers, and those devices "just work".
Many different products share the same base chipset, but might require their specific driver software to "unlock" their device's functionality (because, jerks). Those drivers often include added bloat in Windows. Linux just worries about the base chipset without all the bloat.
But, the Linux ecosphere isn't perfect. We lag behind with newer hardware, due to slow manufacturer support, or no support at all, which requires the most awesome of the Linux community to reverse-engineer the drivers.