A simple answer: Women on average are in a sense spoiled on normal sexual gratification, so a portion of them delve into deeper and more disturbing fantasies for more of a thrill. It’s why something like Goblin Slayer got a large female audience, why many doujins have female characters getting ran through by animals and monsters, and the likes.

By contrast male fantasies in doujins and such tend to be more wholesome because we are just loved less.