I think this might have some answers.

Substantial evidence indicates that women report greater fear and are more likely to develop anxiety disorders than men. Women's greater vulnerability for anxiety disorders can be partly understood by examining gender differences in the etiological factors known to contribute to anxiety. This review examines evidence for gender differences across a broad range of relevant factors, including biological influences, temperamental factors, stress and trauma, cognitive factors, and environmental factors. Gender differences are observed with increasing consistency as the scope of analysis broadens to molar levels of functioning. Socialization processes cultivate and promote processes related to anxiety, and moderate gender differences across levels of analysis.