One simple reason is that all (i think) Linux distros, like Ubuntu, always prompts you with a password before installing or changing anything on your HDD that affects the system files. Another thing is that the people who make viruses are more interested in Windows users because many of them aren't careful of what they're installing, which makes them easy foes. In general, there are many ways to camoflage viruses and implent them into setup files in windows. Once you've pressed "Yes" on "Are you sure you want to install this program?" it just installs every file without further prompting. In Ubuntu and all other distros you can see in your terminal exactly what the setup file installs and the terminal can prompt you again.
Some distros actually do have some sort of antivirus that is called "Apparmor". You can read more about it here: http://en.wikipedia.org/wiki/AppArmor
Never underestimate the power of Linux! It's free, it's powerful, it's awesome.