This would make sense if Alzheimer's turns out to be an autoimmune disorder. Women have higher rates of these types of diseases because the largest number of immune related genes are found on the X-chromosome, giving them a broader variety to their immune arsenal. So women are better able to fight off infections but more likely to suffer from overactive immune responses.
Maybe because they have longer life expectancies and are less likely than men to die in most (all?) age brackets? Their husbands have died of heart disease before they get Alzheimer’s.