For a man to find a woman funny, she has to say things he can relate to. In order to do that she has to step out of her world and pretend to know his, and that's probably not easy to do. Likewise though, lots of women don't find the Three Stooges funny.
I've seen funny females though. I just don't think women are as apt to stand around telling jokes to other women as men are to other men, since women in groups talk about other women or themselves. Guys tend to talk about events or things in general. That being the case, there's no real development area for them. I'm amazed any of them can swing it.