Because, from a young age, it's wasn't considered "feminine" to play chess. Boys were encouraged to play chess, girls were encouraged to play with Barbies. (Apologies if any of the y-chromosomally deficient among you take offense.) By having a women only league, it demonstrates to younger females that it's okay to play chess. And, I think a lot of the men would welcome it; perhaps the future of chess players would be better. It'd be nice to be able to have a nice conversation with a female at a chess club, rather than having just a bunch of guys there.
And oddly, I thought about it - I can only remember ever playing one game in a tournament against a female; and she was about 12 years old. Her brothers were avid chess players, and I think the family tried to get her involved as well.