The errno/GetLastError() pattern is a remnant from a time before threads were a thing. You could have multiple processes, but they were largely scheduled collaboratively (rather than preemptively).

In that world, things like global variables are perfectly fine. But then we got first preemptive scheduling and threads, then actual multicore CPUs, so global variables became really dangerous. Thread locals are the escape hatch that carried these patterns into the 21st century, for better or worse.