When two men love each other in yaoi setup, they can appreciate who their lover is while simultaneously wanting to have sex with them in every way possible. This is the simple answer to why female anime fans often appreciate this genre.
When a romance develops between a woman and a man, you always have to throw society into the mix. Society dictates that the man is usually the pursuer and the woman is the beautiful thing pursued. If the woman pursues, is she coming off too strong? If the man is submissive, is he not manly? Traditionally, women want men to show their feelings, and men want women to be interested in sex. This also raises questions: do men only say they love women because they want sex? Do women only have sex to feel loved?
Of course, none of the above should be taken into account in a real relationship, but in fiction such topics arise because it is very difficult to create (or represent in the case of fanfiction) a character that does not fit some sort of stereotype. And yaoi gives girls a release from feminine role confusion because both parties are guys, thus who is submissive and who is dominant has nothing to do with gender.
On a more general level, however, yaoi fans probably don't fancy looking at naked women and would rather see two people they are attracted to make love. This seems to be also true of men who like lesbians. It is interesting to note, however, that lesbian porn is more likely to be completely sexual, while yaoi tends to be strewn with love confessions and flower petals.
Yuri is a completely different creature that is popular with female and male anime fans, but to a much lesser degree.