If your goal is performance, use full-disk encryption. It works at sector level and is almost completely invisible – sectors are encrypted or decrypted on the fly, so there are no separate archiving/extraction steps necessary.
Microsoft BitLocker is supported on Linux, but the standard cryptsetup tools only gained support just a month ago, so for now you'll still need some additional tools (either Dislocker or libbde).
The same applies even if using "containers" (encrypted disk images like VeraCrypt provides), as they're treated like virtual disks and not as archives. VeraCrypt works on both systems and supports both full-disk and container encryption, but has to be installed separately.
If your goal is to avoid encryption for other reasons unrelated to performance – there is probably no such thing that actually works well.
Password protection can be done at hardware level (that is, enforced by the disk's firmware) – e.g. most SATA HDDs can have an "ATA password" applied – but neither Windows nor Linux know how to deal with it. You will not get a password prompt when connecting an "ATA password" locked disk to either OS; the disk will just refuse all I/O, and might hang the system for a short while. (Besides that, data recovery companies have been able to bypass the ATA password for a very long time. It's just voluntarily enforced, after all.)
At software level, there is no disk-level nor filesystem-level password feature built in to Windows nor Linux. Practically all "password protection" methods that are in use today will involve encryption, as that's the only method that is not absolutely trivial to bypass. (Any "file locking" software which tries to enforce password protection without encryption can be simply patched to not enforce it – the password can usually be replaced with a known one, or the check itself can be removed.)
In practice, Windows "BitLocker To Go" disk encryption is the only full-disk protection method that works on both operating systems without requiring additional software.
(And even that's stretching it a bit: Linux cryptsetup only gained BitLocker support very very recently, so in most distributions you will still need to install Dislocker or libbde to access the drive. (Which is still less than you would need to access a LUKS-encrypted drive on Windows...))
If that doesn't suit you, there are a few external HDDs with a fingerprint reader or even buttons to input a physical PIN. These offer varying levels of security – some of them can be defeated easily, others actually use the PIN/fingerprint to unlock some encryption mechanism – but the overall idea is that the unlocking doesn't depend on the OS.
(Manufacturer-provided software is usually still needed for actually enabling the protection, though.)
By the way, if there is a method to password protect a particular folder only, that is also fine. I just need it to be accessible on both Linux & Windows without installing softwares on every machine that I connect the drive to.
Put it inside an Zip archive that's encrypted using the "Zip 2.0" method. That's about the only common format between the two operating systems that supports some form of password protection.
Note that you will specifically need to use "Zip 2.0" aka "Zip legacy encryption" instead of AES, in order to satisfy both requirements: it is the only method supported by Windows, and it's weak enough to practically count as "no encryption".
Aside from that, none of the filesystems common between both operating systems – FAT32, exFAT, NTFS – have any form of password protection that does not involve encryption. (If they did, it would be trivial to bypass, just as Linux will already bypass NTFS "access security lists".)
