They simply weren't allowed to. It was seen as wrong and many theatres considered a woman on the stage to be bad luck for the company. That's why the men played the female characters, young boys being chosen for these roles because of their higher voices and appearances. It could be quite confusing when cross dressing appeared in some of his plays, such as Twelfth Night, as you'd have a man playing a woman pretending to be a man. Women's rights were quite poor and restricted back then, and their position was often touched upon in many of his plays - hence the cross dressing as their appearance as males gave the female characters a lot more respect and higher positions with opportunities to go further.
If you're interested in this area, I'd recommend a book called 'The Shakespearian Stage' by Andrew Gurr. It concentrates on how plays were performed, how the stages and playhouses were run, and the actors themselves.