Part ofthe reason might be "vanity" - many women just can't accept the fact that they wear a certain size. "Queen size pantyhose is for fat people, and I'm not fat!"; "I'm not a "Large" - I wear "Small""; "No way my feet are size 10 - I've always worn size 8"
Men, on the other hand, tend to value comfort more, it seems. Sizes are just a number rather than an identity.