Or more accurately, why women on average have a better sense of touch than men. It's because on average they have smaller fingers. It's the finger size, not the sex, that turns out to be related to tactile acuity.
They measured the fingers of 100 college kids and then rubbed the fingertips with progressively smaller grooves. People with smaller fingers could still feel smaller grooves than those with bigger fingers. The researchers think everybody may have the same number of sensors in the fingers, so in smaller fingers they are packed closer together.
I wonder if this relates only to adults, or if little kids have more finely tuned senses of touch than adults just by having smaller fingers.