Actually, they don't.
Or at least the notion that women have to pee more often and more urgently than men has yet to be verified by peer reviewed research. Any claims that women do are anecdotal. Doesn't mean they're not right, but there's no proof.
The average, healthy, non-pregnant person urinates four to six times a day, according to one source, four to eight times a day according to another, voiding 32 to 48 fluid ounces in the course of 24 hours (that's a great collection of easily divisible numbers).
But if the premise of women peeing more often were to be true, what might account for it?
-Smaller bladders, because of smaller body size, relative to men (we're dealing with averages here, of course there are some men smaller than some women and vice versa).
-Women's bladders are somewhat constrained in size by the uterus and the ovaries (although this source says that doesn't make a difference).
-Women's urethras are shorter than men's (4 cm as opposed to 20 cm) (this source says this makes women more susceptible to bladder infections and incontinence, but makes no mention of any 
relation to urinary frequency from this cause).
-Women have more stretch receptors in their bladders than men. These are what send the signals to the brain (via the sacral spinal nerves) that you need to pee. A friend of mine learned in university that women have a greater proportion of these than men do, hence a greater sensitivity to the filling of the bladder. But I was unable to find evidence of this online.
-Women are likelier to suffer from interstitial cystitis, a condition of unknown cause which inflames the bladder walls, causing the following symptoms (which vary in degree from person to person, and even from day to day):
-urinary discomfort
-urinary frequency (in extreme cases: up to sixty times a day!)
-urinary urgency
-pain during intercourse
-pelvic pain (these latter two symptoms are less frequently noted)
There's no cure, and no standard treatment (various medicines and treatments, including foods to try removing from one's diet (individually), are listed here).
Because of the variety of symptoms and severity, many researchers believe it isn't a single condition, but several, lumped into one term. A separate condition, called Painful Bladder Syndrome, is used to describe cases in which the symptoms don't match those of IC exactly. Urinary frequency, for IC and PBS sufferers, has been shown to have no relation to bladder size, or the amount of fluid in the bladder at a given time.
As mentioned, IC/PBS is more often found in women than in men. One source estimates 2.7 percent of American women and 1.3 percent of American men have this/these condition(s) (3.3 million women, 1.6 million men). Another source estimates 3 - 8 million people in the US, accounting for up to 12% of women. Another source says women are ten times more likely to suffer from IC than men.
Did reading this make you need to pee?
