Most comedians aren't funny, but yes, there aren't very many female comedians and those that do exist (Lisa Lamponelli) are typically horrid.
I suppose most women just aren't interested in this line of work, and women tend to get sucked into making jokes about their state of being a woman that many people aren't interested in.
Also, having a sense of humor isn't the same as being a stand up comic. That takes a lot more funny, moxy, and stage presence.