It's maybe because this is what it does!
Check the default storage place for xdebug logs (most of the times /tmp/xdebug/something)
which on Windows would be something different than on unix/linux systems.
set these in your php.ini if you want them placed/named somewhere else:
xdebug.profiler_output_dir
Type: string, Default value: /tmp
The directory where the profiler output will be written to, make sure that the user who the PHP will be running as has write permissions to that directory. This setting can not be set in your script with ini_set().
xdebug.profiler_output_name
Type: string, Default value: cachegrind.out.%p
This setting determines the name of the file that is used to dump traces into. The setting specifies the format with format specifiers, very similar to sprintf() and strftime(). There are several format specifiers that can be used to format the file name.
Generating these files is taxing to your system. But these are what you need to profile your code.
Also go read http://xdebug.org/docs before you actually use it again so that you know what exactly you are trying to do.