Do men have a higher genetic variance than women?
This question is very interesting and I would love to have a reference to an article that provides such evidence.

Decomposing your question:


Is it true that there is more genetic variance among males than among females (in humans I guess)
If the answer to (1) is yes then: Why is it so?


I am trying to address these two points below

1. Is it true that there is more genetic variance among males than among females ?

There are different ways of understanding your question 1. Do you want to talk about…


Allele richness
Heterozygosity
Polymorphism
Part of the genetic variance in phenotypic variance (heritability). I don't think it is what you meant though!


Therefore, the question is slightly unclear and I don't know of any paper who address any of these questions anyway. So... I don't know!

2. Assuming (1) is true, then Why is it so?

There are many possible explanations for such observation (assuming this pattern has been observed). Below I give some hypothesis I can think of. 


There might have a higher selection (survival differential) among females than males. In a consequence, genetic variance among young females is higher than among older females. In total, genetic variance among females would be lower to that of males.
There might have a very high variance on the Y-chromosom but not on the X-chromosom. This might for example be a consequence of the arrest of recombination that occur on the Y-chromosom. As a consequence of this arrest of recombination, selection hardly purge deleterious mutations (see Muller's Ratchet). See Shigeta's answer for a more detailed overview of this point. See shigeta's answer for more information.
Males might migrate more. If one look at the sex-specific genetic variance in a population (and not on the world-wide metapopulation), this variance might be greater for the sex that migrate more because different genetic background might be brought from other neighbor populations.
Higher selection within mitochondria in females very early in life (in the egg for example) resulting in a decreased mitochondrial genetic variance in females. This is maybe a bit far-fetched.
There might have other hypotheses for species for which sex of an individual is not determined by sex-chromosomes. (see Sex Determination System)
Depending on what you mean in your question, I guess we might find many other hypotheses when thinking of migration, different fitness landscape (different optimum), different selection intensity.
We might as well think of genetic variance of gender-specific gametes (especially for haplon-diplontic species for example)
This evidence (assuming it has been observed) was a False Positive!




Note:
@terdon provided a very good explanation (which was deleted) of why males might cause most of the genetic diversity but as @terdon and I discussed (in the comments that were also deleted) this is not an explanation for greater diversity among males. The reason is that the variation is created via mutation in the testis and the ovary. The fact that most mutations happen in males does not influence the sex-specific diversity because males sire as many male offsprings than female offsprings (so do females!).