For multiplatform C++ development (using Cmake and Conan), should I dev on Linux or Windows?

Both.

It really depends on what your application will do, but in general it's easier to develop on Linux: more straightforward tools and CMake works better in a Linux environment. You can always shovel things onto Windows later (unless you're using Linux syscalls).

Unless you really like Visual Studio. Then go for Windows.

To add to what @olback said: test on both environments! C++ is so low level (again, depending on your application) that you could observe significant differences.

I love windows, but C/C++ has to be coded on a linux machine.
WindowsAPI really sucks.

@Orionss forget about portability, you will need to develop and test on both. However, with Linux, you have GCC's awesome sanitizer features that don't work under Cygwin or MingW.

@nitwhiz Actually, it doesn't. For example, an event is way simpler than the pthread hack with a mutex and a condition, especially when you want to wait for an event with timeout.

For cross platform I'd say Linux too. Others state very good reasons. One addition if you get to make it compile on a UNIX machine you are already half way there. With minor adjustments it will run on other UNIX platforms that only leaves Windows. There are some frameworks that help abstract a few OS things for you and make cross platform development even easier.