Christopher Hitchens, a columnist for (mainly) Vanity Fair, author, pundit and perhaps one of the greatest debaters evaaar, also known for trying to - in cooperation with Richard Dawkins - arrest the Pope for crimes against humanity, actually wrote a book about this "fact".
It's called "<a href=http://www.vanityfair.com/culture/features/2007/01/hitchens200701>Why Women Aren't Funny" and his one of his biggest arguments (if not the biggest) is that they don't need to.
He explains it kind of like this:
Men are funny because we need to be to get the women to like us. If you can't do that, Natural Selection is likely to take care that your genes aren't going to make it
Women have no need to be funny because - and I quote Hitchens himself: "You don't need to be funny, we already find you attractive, thank you."