Perhaps men aren't comfortable seeking treatment in general. In the Sopranos, Tony is deeply ashamed and embarrassed that he is seeing a therapist. He keeps it secret from his friends and even his family. It's just a show, but I bet a lot of people, men especially with preserving that machismo, operate like that and refuse to seek help with mental health, despite readily going to the doctor for a physical ailment. At least with women there is less of a stigma for talking with a therapist, but the stigma still exists.