Most video games deal with violence, whether direct (shmups, hack and slash, fighting games etc) or indirect (sports) and that alone probably discourages a ton of women. Adventure games (and RPGs) do well with the female demo though, probably because it does its best to balance story and decision-making, in a social sense, with violence.
I think JP also made a good point when he said for women, reaching maturity is less nebulous because the biological implications are more in-their-face. Men without some kind of guidance can take their whole lives to "grow up" (big part of why they abandon pregnant s/o's) and so maybe women just realize the futility of playing video games all day much earlier on?