Because it's a secondary name that covers portions of their identity that they don't feel male names cover. It's the same concept why people's usernames aren't their full legal names, it's a moment for them to come up with something more intimate to explain a different portion of their being - and feminine names tend to foot the bill when it comes to "sissy" attributes.
What bewilders me is why you care. It's something special to them. It's just a name.