Does difference in expected life duration between men and women have biological nature?
There are several explanations. Probably these are all true to some degree and thus combine to give the general longer life expectancy of females.

Most of these statistics are from Annex 2 of the WHO Health Report 2004 (found through Wikipedia)


Males are more likely to get lung cancer, liver damage and other drug-related illnesses (implied would be that males are more often alcohol/tobacco/drug users).
Males also die more often as a result of work-related injury, especially as soldiers
Males are usually larger. There seems to be a small inverse correlation between size and life expectancy
Mitochondrial DNA is passes from mother to child. As such, mutations harmful for men are less effected by natural selection.
Men have one X chromosome, while women have 2. The y chromosome is very small and contains almost no genes. Thus if there is a genetic defect on the X chromosome the female might have a healthy X chromosome to compensate while the male does not have one. Among others this makes males more likely to have hemophilia or color blindness.