Linear models can predict well in complex domains even when underlying mechanisms are nonlinear. We argue that this can occur because the complexity of the world exceeds the complexity that can be learned reliably from finite, partially observed data. Flexible models can exploit curvature, thresholds, and interactions that fit one hospital, period, population, policy setting, or measurement process but fail elsewhere. When this instability lies mainly in the nonlinear component, omitting it can give linear models lower prediction error in a new environment. We connect this claim to work on simple linear rules, bias and variance, regularization, best linear prediction, measurement error, distribution shift, invariance, Rashomon sets, and underspecification. Proposition 1 gives a simple squared-error case in which a nonlinear rule learned in the training environment raises target error because it transfers too weakly; finite-sample estimation error can strengthen this result. Partial observation alone is not enough: the link between observed variables and unobserved factors must vary across environments. Stable nonlinear structure favors flexible models, and linear models remain vulnerable to linear spurious relationships. Model complexity should therefore be chosen by cross-environment stability as well as training-data accuracy.

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