To answer that question you must first ask the following question:
>What creates sadness?
for the purpose of this thread we will only divide sadness into two categories:
>Tragedy
>Social
Tragedy is when someone die, your house burn down, someone steal your pet and so on.
This category should statistically affect both men and woman since there are roughly the same amount of people from both genders.
The social category include your love life, your friends, your "reputation" with others, your job and so on.
Now, who do you think is most likely to initiate a break up?
Who do you think receive more comfort from their friends after a break up? (Even if the other person broke up with you because you cheated or otherwise was a terrible person?)
>Spoiler alert: It's the girls
Also, if one of the girls in your group of friends have broken up with someone, have you ever heard anyone not automatically feel sorry for the girl, no matter how much the break up was her fault?
In a previous job I met a girl who got broken up with by her partner because he lost the feelings for her. (He was never mean to her, he just did not want to be with her any more)
People at the work actually conspired to beat up the guy, and she immediately went on Tinder.
She had no intentions of going out with any of the boys, she only wanted the "attention" as she called it.
This is not something uncommon for girls, but how many guys get this kind of back-up and attention?
Now, when it comes to reputation/drama/intrigues woman are more exposed and in the danger zone. But this does not only create sadness, it also create anger and a will to move on. (unlike sadness alone)
Now, I am not writing this to be edgy, this is simply the current state of social life as I experience it.
I have been in several relationships myself, the longest one have been 8 years, and while I am not bitter or angry I am most certainly a lot more sadder now then I was as a kid before I learned this.