Red LEDs have a Vf of about 1.5V, which means you'd need about 100 of them in series to make up the ~160V you get from rectified 115V. If there are fewer than that, then the efficiency with using a linear regulator is terrible because most of the voltage is dropped by the regulator, which must dissipate it as heat.
Take that Amazon example (Simonh82); 24 red LEDs in series is 36V. 160V from the rectifier means that 77% of the energy would be going into the linear regulator and 23% into the LEDs. The heatsinking for that much power will cost 5-10x as much as putting in the proper switching regulator which is about 85% efficient. It's a 5W bulb, which probably means 5W into the LEDs, which means probably 5.8W input power; if it was linear then that would mean 22W input power and heatsinking for 17W, which is HUGE, not to mention less efficient than an incandescent. It'd also be incredibly unsafe because the LED terminals are effectively live.
Transformers are heavy and very expensive. More expensive than switching regulators, the latter being based around tiny, high-frequency transformers rather than comparatively big brutish ones that must work at 50Hz and therefore require huge core cross-section to avoid saturation. The (50Hz) transformer to run this bulb would be about 3x larger than the bulb and pricier than the retail price of the bulb. The switching regulator would fit trivially on the back of that panel that holds the LEDs, with room to spare.
The Amazon bulb is also "110-220V", which is about as solid an indication you can get that it's got a switching regulator on-board. Cheaper bulbs will have cheaper regulators that don't support the broad input range.
Switching regulators, while being a complete bitch to design, are fantastically efficient in power, space and cost. They beat the pants off the other alternatives by an order of magnitude and manufacturers know that.
