As a man who makes something of a hobby of teaching woman to shoot, I can answer in two ways:
One: Women need to learn to shoot more than men do. Men have a 2:1 advantage in upper-body strength over women. Most criminal assailants are men. While we Y-chromosome types have a fair chance of fighting the average assailant off without technological help, women do not. I teach women to shoot on the principle that the only good rapist is a dead one.
Two: A pretty woman with a gun in her hand is way sexier than one without. Why this is I don’t know, but I do know that I am far from the only male with this reaction. There was that legendary video of bikini-clad models firing automatic weapons…
Which reason is more important? Let’s just observe that all interesting behavior is overdetermined and leave it at that.