There is not just one reason why there are more men who win the subjective Darwin Award. For those that are not familiar with a Darwin Award, a committee reviews cases presented to it about deaths caused by perceived stupidity. So for example, if I poke a grizzly bear with a stick and the bear turns around and kills me, this could be a good case for winning a Darwin Award.
So with the requirement in mind, the first obvious issue is in general, males are more likely to engage in more dangerous behavior improving their chances of death. Also, the most dangerous jobs tend to be performed by males and while a tragic death in itself would not qualify for a Darwin, failing to use proper risk management might.
Most Darwin Awards involve failure to consider risk. This is only made worse when alcohol is involved and a desire to impress the buddies overrides caution. So there is another factor. Drunk men are more likely to engage in risky behavior whereas drunk women are less likely to want to do dangerous things. Women are less impressed by their fellow ladies doing risky stupid things than guys are. Perhaps it is the added aggression testosterone provides for males that makes them seek risks? Hold my beer!
Finally, my favorite theory is called MIT. While I normally associate MIT with one of the best technical universities in the world, in this case the acronym stands for Male Idiot Theory! Basically, the theory states that males are often idiots and idiots do stupid things! My wife would probably be onboard with this dubious theory.
So it is probably the result of several factors including many not listed above. The facts are that about 85% of Darwin Awards are given to males. Once again, it is determined by a committee, so bias could play a part. The same incident may be viewed as an unfortunate accident for a lady instead of foolish behavior by a man. Also, it is possible a stupid death by a male may have a better chance of being reported to the Darwin committee than the same death by a woman.
The article below is an excellent study on the question.
https://www.bmj.com/content/349/bmj.g7094