There are plenty of funny women... I just don't think I've ever honestly seen a standup set by one that i remember. Outside of the cream of the crop, i don't even like most standup from dudes though. Also, all the women who have done Comedy Central Roasts have been pretty damn funny. The setting helps, and i suspect they had help with their writing, but Natasha Leggero, Whitney Cummings, Amy Schumer were always good on those things.
I wouldn't watch their sets though. Maybe Natasha, but not the other 2.