First of all, where is it written that one must play their own gender? Is anyone asking 'Why don't you play as a human instead of an Orc/Night Elf/Undead/Hottentot?' MMOs (and many videogames in general) have the distinct attribute of genderless play; there is no specific, inherent strength to either sex. Why not take advantage of that?
Second of all, do women get asked why they play men? There's some unfocused assumption that fantasy epic heroes should all be towering, strapping males, so is it unreasonable to expect a female to want to tap into that bias and see how it feels from the other side? Or even just to say 'I'd rather look at a dude than a chick'?
Third of all, is there anything actively wrong with wanting to look at an attractive member of the opposite sex? They make those avatars pretty for a reason, you know. You're spending all of your time staring at their backs, so you should take some pleasure in how they look, shouldn't you?
And if none of these apply to you, O Reader, then why do YOU play opposite your gender? Sound off!