For many women, so much is in the head:
We have measured autonomic and brain activity during orgasms that women have produced by thought alone. During the thought orgasms, the magnitude of the increases in heart rate, blood pressure, pain threshold, pupil diameter, and brain regions are similar to those that we observe during vaginal or cervical self-stimulation-induced orgasms (Whipple et al., 1992). It is not surprising that in those cases of thought-induced orgasms, the specific genital sensory thalamic and cortical, and specific limb-motoric regions, are not activated.
Men just don't have that option, I guess. More here.