Grace Davie has argued that women feel closer to God because they are involved in the creation of life through pregnancy and childbirth.
It is possible that being pregnant, and carrying a new life around for several months, makes women reflect more on spiritual matters such as the meaning of life, and ethical considerations of child rearing, even before the the child is born, and religion is one place where women can find answers to such questions.
It is also the case that child birth is a very intense, emotionally charged, experience, so it could be that the event itself makes women seek out religion more.
HOWEVER, is it possible to isolate the biological fact that women give birth from the traditional gender norm of ‘primary child carer’ that women still adopt in most countries?
It could just be that it is conformity to the role of primary carer is what ‘makes’ women more religious, rather than the biological fact of women being the child bearers: caring and nurturing make people think more about others, and thus more about ethical issues, which is the domain of religion.
However (again) there could be something in this: The New Age Movement (primarily made up of women) celebrates biological aspects of femininity, such as ‘motherhood’ for example.