This is true, that women on the whole are less funny. The reason is simple: they have less abstract reflection.
You know that women on average are worse at mathematics. That's because of the lower capacity for abstract reflection. And studies show that women read maps differently, and really are worse than men at reading maps - because it is too abstract. However, when a man and a woman have both gone a route before, they have equal capability to find their way.
Abstract reflection, of course, is what we need to see logical gaps like flippingfreak wrote, the difference between what should be and what is.
Why? I can only assume that it has to do with the long Stone Age, when men had an easier time of surviving on their own, while women were always dependant on someone else for survival. Women would by necessity stick to that which is close, the home, and focus on that. Men would roam more freely. And since men were the planners, they would develop better abstract thinking.
This is also why women on average have a slightly higher linguistic capacity - they needed language, communication with others, to survive. Especially with their husband's mother, who commandeered the new household they moved into.
Fun facts:
Women have the same IQ average as men, but they are closer gathered around the mean. Men have more outliers. This is true in every field: math, linguistic ability, creativity - we always have more outliers, i e more of those who are both real stupid and more of the geniuses. So the best authors, the best mathematicians, the best comedians - like those who get to be on TV - are men. (And you can be sure that the great publishing houses are looking actively for female authors, reviewing them more favorably than they would a man. And that the university boards are all praying for good female mathematicians who will give them good publicity in the PC media. If anything, it is men who are at a disadvantage. Yet we are called "privileged" simply because the top slots are still filled with men, because of the outliers.)
For anyone who would still doubt that men are funnier - look at the teams employed to write jokes for sitcoms. I think we can all agree that these sitcoms live or die by their jokes, so they can ill afford to be "chauvinist" and favor men, or PC and favor women. They have to deal with reality. So what happens? The teams are made up mostly of men.