It's a tired cliché at this point: asking a man why he plays his favorite MMO as a female character, and getting the response 'I'd rather look at a chick than a dude'. But there's both so much more to this question and so much less that it bears a glance.
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?