Because womens' hats are usually fixed in place with clips or pins, and it's impractical to take them off without disarranging the hair. This is also the reason women aren't expected to remove their hats when saluting the flag or standing for the National Anthem.
For some reason, since time immemorial women's modesty has been about covering the head and male humility about revealing the head. Of course, the practical reason LizzieMaine gave is also valid. What a mess of disarranged hair it would be if women were to remove and replace their hats at the same frequency as men!
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