But why? Well, I'll take my best shot at it. First, my short answer:
Women are more empathetic then men. Religion is tied to empathy. Therefore, women are more religious.
Not convinced? Let me explain. I admit this is a bit of a stretch, and I hate to shit on my own gender; but here's my long answer:
Let's start by asking: Are men different from women at all? Yes, I think we all agree. In what ways? Well, size and musculature, but that doesn't seem to be relevant, does it? What else... We know men have more testosterone which is linked to aggression. We also know that women have more oxytocin which is linked to cooperation and empathy (the so called "love" hormone, which now conveniently comes in nasal spray form!). Okay... How does this link to religion? Hmm. Broadly speaking, if you look at religion without prejudice, I think it doesn't take a rocket scientist to say that religion generally promotes cooperation (especially within-group), good will towards others, empathy, and love. For example, the entire core of Jesus teachings is two-fold: love God, and treat others as you would like to be treated. Indeed, the golden rule is at the core of all major religions. Therefore, if women tend to be more empathetic then men, then they will be more religious than men. And they are. Oh crap. Am I making a link between morality (empathy) and religion? Yes, I am. Again, this is just my best guess really, I'm not claiming these links are rock solid. Perhaps the different between men and women is not big enough to even require an explanation.