As for why do women prefer fantasy over sci fi? Damn, I really don't know, but I too have noticed that. Normally I am really quick to speculate on the inner workings of female behavior, but I got nothing.
I think there's a difference in the way some women relate to things - they seem to be more attracted to a character or characters within a film or novel than the rest of us. You only need to look at the 'shippers', slash enthusiasts, militant Janeway fans, Xena followers, cosplayers etc.
I'm probably going to get 'Guys do that as well' thrown back at me, but none that I know do. And yes, I know it's wrong to generalise...that's why I was careful to use 'some'.
I'd also say that fantasy appeals more to women as it is more 'romantic', and I don't mean that in a boy meets girl kind of way. More in the idealised, heroic, adventurous, remote, mysterious way...