Here's my take on it: Some of it has to do with anxiety--a big part, actually. It also relates significantly to social norms.

Part of it is because men are socialized to be the "approachers" in relationships, and part of it is because men are also socialized to expect to get what they ask for. Look at romantic comedies--the male characters push and push until they finally win their love. In real life, a lot of women just don't want that--in fact, it can be really scary when someone just won't stop bothering you.

Boys are encouraged to push for what they want, while girls are encouraged to be demure and passive. That's not to say that all men and women end up like this, but that's the pattern. Women feel guilty for saying "no" because we've been taught from an early age to be agreeable and polite and to not hurt anyone's feelings. So for some women, the anxiety of being impolite trumps the logic of the situation. Depending on the situation, it could also relate to genuine anxiety about backlash--will the guy be violent? That's certainly not the case the majority of the time, but it happens quite a bit and that's enough to create a fear.

Finally, I urge you to consider this: women get "friendzoned" too, but don't label it as such. When a guy tries to let a girl down easy, usually the girl gets it and drops the matter--because girls are encouraged from a young age to be socially aware. That's not to say all girls are socially aware, but there's an expectation that they will just "get it." The younger they are, the harder it will be though. Why do you think they spend so much time wondering "why did it take him a day to text me back?" or "why does he only seem interested in going out with me when his plans fall through?" Trust me, it happens to women, too, quite a bit. Many girls hang on and on for ages, but they're too embarrassed to complain about it later.