This was a discussion about this on the Mono mailing list not too long ago. The reasoning they provided is Mono is extremely optimized under Linux (exactly how did not seem to be mentioned). But Mono is not the only variable here, if you are running Mono on Linux. It’s a different OS, different process schedulers and various kernel level subsystems can have a markedly different effects on performance, independent of the Mono team’s work. Mono also makes heavy use of compiler intrinsics, which .NET may or may not do.
However, most of the time on a Mono on Windows vs .NET on Windows comparison, you might find .NET beating Mono more often then not. But even then, Mono might not always lose. In fact, for code specifically optimized for Mono (eg: using Mono.SIMD), you might get an order of magnitude better performance on Mono vs .NET, regardless of platform.