Why? It doesn't work any other compiled language, why should it work for Rust?
Apple's position is extra clear: if you want to develop something for macOS or iOS you have to do that on Mac. Period, end of story. Nothing else is supported (and by “unsupported” I mean not “Apple wouldn't help you” but “Apple's license doesn't allow that and there are technical measures in place to make that impossible really hard”).
I know that Visual Studio supports remote development for MacOS, maybe some tools would allow you to do the same with Rust.
But, ultimately, it's just easier to develop MacOS software on Mac. Or ignore Mac completely.