I studied Nutrition and this discrepancy in particular, and I think the reasons are quite fascinating. Essentially women have several factors working against them: Women tend to have lower muscle mass and lean tissue than men. Lean tissue is very metabolically active and coupled with any type of exercise will essentially become a mini biochemical furnace. In contrast, fat tissue is metabolically inactive and even if you work out the areas with fat, the actual adipose tissue won't increase it's calorie burning. Secondly, hormones play a large role in how food is stored and burned. Testosterone helps promote protein synthesis and prevent fat deposition, while estrogen tends to be more fat promoting.
Interestingly, men with high testosterone are somewhat protected from type 2 diabetes due to higher muscle mass (muscle is awesome for soaking up excess glucose from the blood, think of muscle as a sugar "sponge") and testosterone directly helps promote insulin sensitivity (for more check out this link http://www.everydayhealth.com/health-report/low-testosterone-guide/low-testosterone-diabetes.aspx) So it is easier for women put on fat, and more difficult for them to lose it. As their hormones promote fat deposition and their inherently lower muscle mass burns less calories for an equivalent duration/intensity of exercise.
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