Malware is a bit like mud: if someone throws enough of it at the wall, some of it will stick. For most financially motivated malware, this is the best operating strategy. Given the current market share of Windows, this means most of it will target Windows users. But even if they don’t manage to hit their target directly and the mud ends up on the ceiling, sometimes it will still make its way down the wall.
As long as there has been malware spreading on the Internet, there has been Windows-targeted malware received by people on other operating systems. Much like how cybercriminals are more concerned with what data they can steal than what OS it came from, malware can’t know what OS it will land on. Worst-case scenario from the malware’s perspective would be that it lands on a system where it won’t work, and it’ll be summarily deleted. But there are a lot of possibilities between that end of the spectrum and successfully affecting a system.
In many cases, if a file is received on an incorrect operating system, the file may be set aside and ignored. The malware could stay that way forever, its biggest downside being that it’s taking up disk space. Or it could make its way to a system where the malicious file will do harm, either by someone sharing it intentionally (not knowing its true purpose), or unintentionally by saving it to a folder that’s shared or synced.
Admittedly, these seem like rare cases. But with the tens or hundreds of thousands of Windows malware discovered every day, it only needs to happen a small portion of the time to amount to quite a few instances. Detecting and removing malware regardless of its intended target is one of those things that could fall under the category of “being a conscientious Netizen”; by keeping your own system clear of malware, you’re helping to keep your Internet friends and neighbors from harm.
This is why most modern AV software detects not only threats for the OS they’re running, but all the various other OSes as well. This way, you’ll be able to identify and remove whatever malware comes your way, regardless of whether it can do your own system harm. But you shouldn’t be concerned that this extra detection will slow down the scanning on your non-Windows system unnecessarily; those same modern AV programs are smart enough to know the difference between file-types. If your scanner sees a file that only runs on a Mac, it will only scan it for malware that would appear in that Mac file-type. They’re optimized to exclude files as quickly as possible, so that you’ll see as little delay as possible.