It depends on who owns Gears of War. After seeing the deal Microsoft did with Capcom allowing Gears of War characters in Lost Planet 2 I am wondering if maybe Microsoft sits with more ownership on Gears of War than most assume.
For Epic it would make sense to make it multiplatform, no just for the direct financial reasons, but because their main business is licensing the Unreal Engine and their main sales argument being it is a well tested cross platform engine. Having their flagship game not being cross platform undermines that claim and message, because it kinda signals that if not even Epic can make a cross platform game that is equally good an all platforms using their own engine.
That said I am sure Microsoft would be willing to cough up some really major concessions to Epic to keep it exclusive, considering who small Microsofts 1st party lineup is, it is much more painful for them to lose exclusive franchises than it is for Sony or Nintendo.