But then again, you would need a custom loader, which would have to be compiled into an application somehow, which would repeat the whole argument above. There's no way you're getting a compiled application running on Windows and Linux or Mac (with the same executable).
And besides, it's just more profitable to compile the code on the different platforms and end up with different binaries. No need to develop expensive special loader systems and testing to make sure it works on all platforms and the extra work and researching it takes to create platform-independent code.