As I understand it, the primary reason that there are women-only events is because some people worry that having only open events would discourage women from participating at all. The reasons why women might not want to participate in open events seems to be related to women and girls historically not being encouraged as much as men, and therefore being weaker performers (as a group) than men. Additionally, there have been issues with sexual harassment (see the recent lichess article "Breaking the Silence"). It's understandable that some women would not be comfortable competing in that type of environment.