To me the reason that horror movies have this relationship with women is because the demography that better understands and enjoys the thematic of horror in all media is women... And violence victims in general.
Because women are currently teach to fear (fear rapists, fear sex, fear masculinity, fear excessive feminity, fear men, fear OTHER women, etc.) we can project ourselves better on the victim character and even the monster at times.
A good horror story understands this relationship and uses it to comunicate with the public.
At least that's my experience (6_6)
