Women and men have different cognitive functioning. Hormones not only physically shape how you look but act on every function of the human anatomy and that includes brain function. A small example would be that women have greater peripheral vision than men while men process rapid moving objects better.
Its not a mark of better intelligence just because a man is better at chess, its more that both males and females delegate their processing power differently and to different tasks. If there was a game that required emotion recognition for instance, women would dominate men in that game. Women also tend to be less interested in games in general which I would imagine would be down to having less testosterone which fuels competitiveness. Its very narrowminded to believe something as one dimensional as chess would define intelligence or cognitive ability. The human brain is highly complex. Information theory alone states that the brain may be making a 100 billion operations per second.