I've come to believe that both sexes have a certain amount of.. shall we say, "subconcious knowledge"? Instict? Let's just say that there are certain things that a man would consider to be "common sense" that a woman would be completely oblivious to, and the converse of that is true as well.
In short, men make sense to other men, because we both have the same hormones and instincts. Women do not, at least at first, make sense to men because there is a difference in instict and hormones.
And while some instincts, such as the will to survive, are common to both genders, there are some instincts that are unique to males and some that are unique to females. Naturally, this means that someone of the opposite gender will be slightly more difficult for you to relate to. It's not as if men are more or less complicated than women, it's just that men who are still inexperienced with women have difficulty understanding them because they naturally assume that the woman will have certain kinds of instincts or mindsets, when quite frankly she does not.
It goes the other way too. I'm not trying to say that this is only true for men to women. Women often make assumptions about men that simply aren't true, and this also leads to its own complications.