I believe it's a complex societal issue. Boys, from a young age, are subtly taught that driving is dangerous and exciting and something they MUST learn. Girls less so (it's self perpetuating, of course - all those girls whose mothers don't drive much etc).
Then, when girls and boys are being taught, expectations are different. Both might be scared but the boys are expected to get on with it while girls are often allowed to be a bit more nervous and more accommodations are made for them.
And ultimately, the result is that boys learn to drive whether they're scared or not, and in the process learn to overcome those fears. And many girls don't.
Ask around your male and female friends. The kind of questions you can ask might be,
"where you scared learning to drive and did you feel you could admit it?"
"Were you encouraged to learn to drive or learn about cars from a young age?"
"When you were learning to drive, if you were nervous, what did your driving instructor do"
"Did your parents let you drive when you were a learner or did you have to wait for your lessons? AND did your parents encourage you to drive with them and not just with an instructor".
"How many lessons did it take you before you were driving fast enough to use 5th gear"
"Did you feel like learning to drive was something that was totally expected of you?"
In our family, learning to drive was considered an absolute necessity and there was no slack for any member of the family (2 girls, one boy). But I was very surprised to discover how many of my female friends' parents took a more casual approach. the boys all got their license within days of their birthdays... and certainly, that was the expectation in our house, but many of the girls took weeks or months before they got around to it. Not all, but a lot.