Because of the differences in the way mens’ and womens’ bodies deposit fat and build muscle.
Female bodies tend to deposit fat in the thighs, hips, and butt. That’s what causes thick thighs in women. Male bodies tend to deposit it in the abdomen, which means there isn’t as much fat to increase the size of male thighs.
Since the arms are not a place people’s bodies tend to deposit fat, the size of arms is dependent primarily on muscle. It is very difficult for a woman to develop big, bulky muscles. Since that is much easier for men, male arms tend to be bigger.