Because the cross-section of the urethra is different.

Women don't have a penis, so it's ok if the pee kinda sprays instead of forming a stream. The cross section of a woman's urethra is mostly smooth, relatively simple.

To facilitate the formation of a stream for a man's urine, the cross section of the urethra is somewhat "rifled". The urethra being like that, makes the flow of urine more like an organized stream, to mostly avoid unwanted spraying.

There's probably some anatomy textbook out there with better diagrams or images, but I found this https://vmicro.iusm.iu.edu/hs_vm/docs/lab11_6.htm