Why, would you think, would a higher percentage of women than men follow religion?
It might have something to do with the fact that men worldwide are generally more free to exercise their own agency over their lives, whereas women are not. And even where women are permitted to make their own choices, they're expected by almost all Western societies to make societally appropriate choices whereas 'boys will be boys'. Or perhaps that women are less likely to go into higher education than men. Or perhaps that men are encouraged to discuss and ponder intellectual subjects like religion and philosophy, whereas women are encouraged to stay at home and take care of the kids. (And that's just from reading a couple pages of the comments section on PZ's post.)
Or you could be a blithering idiot and make a giant leap of logic and claim that it's just another one of those risk-taking behaviors that men are obviously more prone to than women.