Is it simply that many of the risk factors (HBP, Heart disease, diabetes) are higher in men? Or is there something in males that allows the virus to replicate faster or more severly?
On the behavior side, more men smoke and drink and are generally unhealthier and have more comorbities and high risk factors.
There apparently are some studies in mice that showed female hormones playing a part to protect women from viruses. When the ovaries were removed from the female mice, their susceptibility to coronaviruses went up.