Why can't a save a matplotlib plot in pgf format?

Question

I would like to save a plot created in matplotlib in pgf format for inclusion in a latex document.

Based on this example:

from matplotlib import peplos as plt
from scipy.stats import norm

x = norm.rvs(size=100)
y = norm.pdf(x)

plt.scatter(x, y, marker='x')
plt.savefig('norm.pgf', format='pgf')

yields the error:

RuntimeError: xelatex not found.  Install it or change rcParams['pgf.texsystem'] to an available TeX implementation.

I have xelatex installed on my system. What the problem here?