I would think that the most important causal factor between this difference is behaviour. Men probably smoke more than women, probably eat more junk food and are eventually more stressed. Men also probably take more risks and have more accidents. This last point might have been very important at an earlier time when men were hunting outside while the females would work inside the cave. Depression is more prevalent in men as well and it is possible that might affect health. These differences in behaviour might be caused by genetic (and epi-genetics) differences (sexual chromosomes) or by culture.
There was a time where some doctors thought that the different was due to oestrogen but I think that this hypothesis has been ruled out.
The Y chromosome is short
Men have a Y chromosome while women have two X chromosomes. At each mitosis, the chromosomes get shortened (telomere are shortened). It is possible that the presence of the Y chromosome may explain some of the observed difference due to its small size. However, according to @cantona'sCollar the Y chromosome is often lost in somatic cells and therefore the difference of length between the X and the Y chromosome doesn't seem to be a good explanation.
While women stop reproducing earlier than males, women often provide more care to their grandchildren than men do. As a result of this behaviour, genes coding for longer lifespan are beneficial by the fact that they help other copies of themselves (found in the grandchildren) to thrive (kin selection).