While receiving analog radio is trivial for the processing required, it is fairly low frequency transmission which requires antenna sizes which are not entirely practical for phone-like device. I would even assume that many phones contain the required hardware (which usually involve using headset cable as antenna) but don't have any kind of software support for it because of combination of minimal demand for such a feature and the fact that the entire experience is not exactly user friendly. Notably, Raspberry Pi uses wifi/BT radio which apparently either includes FM radio or used to in previous revisions (and apparently the radio chip is capable of receiving FM and directly sending the audio to BT headset, which is somewhat interesting feature given the usual requirement of wired headset as antenna).