“People wonder why the novel is the most popular form of literature; people wonder why it is read more than books of science or books of metaphysics. The reason is very simple; it is merely that the novel is more true than they are.”
Cognitive science has a reason for that: male brain is naturally more drawn to the straightforward, fact-driven nature of non-fiction, while female brains are wired for dealing with the emotional empathy, cognitive functions, and social relationships represented in novels.
Fiction allows us to understand real life situations through human experiences and ideas simulated in a made-up world. When we read fictional narratives, we heavily engage those parts of our brain responsible for our cognitive abilities (thinking, feeling, perceiving our own as well as other people's mental states). Fiction requires us to keep track of social interactions between characters, guess at their hidden motivations, reading their thoughts behind their actions. As a result of both evolutionary and sociological factors, women develop these abilities before and better than men do, since a very young age (3-4 years old).
Having said that, we should all try to leave our comfort zone and gain mental strength from diversified reads: Pride And Prejudice could be anathema to a man, and Entering The Shift Age may not be any woman's perfect beach read, but every time we pick up a book, in any genre, we mold ourselves into more socially adept men and better self-educated women.
"A well-read woman is a dangerous creature." (Lisa Kleypas)