One pretty solid answer: socialization. Men and women are socialized from a very early age how to deal with their emotions. As human beings, we all feel and experience (for the most part) the same emotions in the same way - it's how we are encouraged or discouraged from expressing those emotions that differs from gender to gender.
Have you ever noticed that when young boys are being angry or loud, it's generally more accepted than if a young girl gets visibly upset? She's instantly told her behavior isn't 'ladylike' and that she needs to be quiet, effectively communicating to her that certain emotional expression is off limits.
Same with young boys, who become injured or upset and cry. We tell them 'boys don't cry' or "stiffen the upper lip,son" which tells him that his display of emotion isn't correct or acceptable.
We carry these gendered behavioral lessons throughout our lives and sometimes this can have incredibly harmful psychological effects.