Why do women eat chocolate during depression?

It works! The mechanism is not completely understood but many elements of chocolate are stimulatory and relaxing to the nervous system. If it weren't for the extra calories in the usual candy it would be great. Consider modest use of the dark and minimally sweetened brands. Don't binge. Binging has a separate immediate feel-good effect which is most always detrimental to the health.
Women and men both. Studies show that people who are depressed eat more chocolate than those who are not depressed and there is no statistical difference between men and women. There is no consensus however about whether being depressed makes people eat more chocolate or eating more chocolate makes people less depressed. One study showed chocolate made people feel good, but only for three minutes.