[incoming pathetic post]
Because we see our characters, not as avatars, but instead as companions sharing this adventure with us, and we may just prefer to have a female companion, even if we're not sexually attracted to her. Working in IT, I'm around almost exclusively guys all the time at work. When I'm home, playing some games, I'd like to change it up a bit.
That said, I play female characters because they're nice to look at. If I'm playing a lizard, though, I couldn't care less if it's male or female (except in cases of limited romance options, in which case I'd play a male).
