Because on average, women are less prone to depression than men, but are more likely to have forms of anxiety than men. It's no big mystery because it fits with our different metabolisms, endocrinology and neuronal pathways. Men are more physical, hence, more dopamine driven, testosterone driven. We get less anxiety because being more active makes our body learn to downturn our nervous system better, but on the flip side is that the habituation to dopamine highs makes us depress as we grow older and slower as we get fewer highs. Opposite for women. Less dopamine highs, so less likely to get depressed, but less atuned to slowing down their nervous system, making them less effective in dealing with bouts of anxiety, on average. Both can be depressed or anxious, but numbers don't lie, as far more women deal with problems of anxiety while far more men deal with depression.