Odd, I've never noticed. In gaming, I rarely do it; it's just sounds silly. Once in awhile, I may emmate the clop-clop sounds of horse-shoes, but that follows the Monty Python skit of, "Dismount!"
General speaking, I'm sure the difference is cultural. Females in general* are taught to act mature and ignore any childish impulse. Men lack such socialization and generally like to act childish if they can (hence the media image of the husband as another child). I know I'm just a "big kid" and love to make X-Wing and Star Destroyer noises, as well as lightsaber.
*not to say exceptions aren't possible.