I think Ruby's equivalent would be something like rbenv (which is just a big shell script!). Java similiarly ends up often being installed through package managers or other bespoke system installers that would at the very least need to bundle a runtime.

To your point, One could write something like rye in Python, and then use PyOxidizer to package it up. I imagine a part of this is "Rust is fun", which is totally a legitimate reason to work it. And of course Rust comes with a very good distribution story (Go might have been another good answer for some people).