It's related to how older versions of Windows/Office handled Unicode in general.
From what I have heard, it's still an issue with Excel, although I assume that Windows may handle plain text better these days (I haven't used it in a while)
You need to write an UTF-8 BOM at the beginning (0xEF, 0xBB, 0xBF), if you want to make sure it's recognized as UTF-8.