There is a few different potential reasons as well as sexual preference.
Genetic incompatibility - the interspecific cross could only occur one way.
Genetic bottlenecks in the neandertal lineage. A high inbred coefficient could have decreased the neandertal females overall fertility (high deleterious alleles load). This could also cause a rapid reduction in the percentage of neandertal DNA in a mixed population.
Maternal behavior - Neandertals females might not have cared for hybrid offspring appropriately. This could be for anything from milk production requirements to differences in physiological developmental rates.