Unfortunately, it’s not enough to specify
--target to get cross-compilation working. That will only produce object files/static libraries, but it won’t know how to build an executable.
Rust doesn’t ship with its own linker and system libraries. On Windows you only have MSVC’s linker, which of course is incapable of linking Linux executables. Similarly you have only Windows DLLs, and not Linux’s system libraries (like glibc).
I don’t know if anyone has build and packaged these for Windows. It’s generally so much hassle that everyone recommends NOT to cross-compile, and just Rust on run full Linux in a virtual machine or WSL.