The reason for those differences are biological and rooted in evolution. From the dawn of time, men had to earn their value by proving their better than everyone else (i.e. to attract females and pass on their genes), while women were born valuable. This resulted with men being much more keen on taking risks, while women usually prefer much safer options (i.e. working in a steady job). And there's nothing wrong with that.
So, in terms of entrepreneurship, men go for it naturally, even everyone around advises them not to, while women need to be encouraged and get support in going that route.
But yeah, since virtually all developed countries are pushing for gender equality (of outcome), then we'll likely to continue seeing special programmes to help women start their businesses, and those differences will be shrinking at least a little bit.