...they're not. There was actually a study on this that showed the the average person tends to find men and women funny at a pretty equal rate. There might be some straight men that feel uncomfortable admitting they find a women funny but that's nothing to do with the women and more to do with the man's insecurity
All the females I know are hilarious and great company, and many female comediennes make me cackle equally if not more so than their male peers. I think it says more about you than the women you seemingly have issues finding funny.
I think it's because men aren't afraid to take jokes to the next level. Just listen to the **** drag queens say Only a few women like Joan Rivers are willing to go that far.