Actually, female attempt rates are higher than male. There are a variety of factors that come into play but essentially females choose methods of suicide that are less effective so male rates ultimately end up higher.

I'd hazard a guess it's due to two things, each not necessarily independent. First, males in many countries are prone to societal "honor" and may kill themselves in times of great shame (poor Indian farmers loosing everything to shady Monsanto salesmen and then drinking pesticide). And second, women are often mothers, and while a suicidal man tends to not "think of the children" women (being mothers and all) do consider the fates of their children, and likely forestall killing themselves out of compassion/concern for their offspring.

Given the shit the world generally dumps on women, I'd say the female gender is simply built of sterner emotional stuff than their male counterparts.