It's more convenient, meaning safer, to be married to a woman.
If you spend your whole life in a "gay friendly" city or a place known to be progressive and tolerant then it might not matter too much. But if you live out in the country, or in a conservative state/location, or if you have a conservative family, you will have more problems with people if you are in a same sex relationship. It might not mean the potential for violence, though it could, but in a conservative or rural location you would likely have problems socially or with employment and rental housing.
It's just more convenient, in my experience, and some of my experience has been to do with how terribly bad things can go if you're different or unacceptable.
So, I'm married to a woman... I could just as well be married to a man but being discreet about who I really am, being secretive, saves me a good bit of potential for real grief. I don't underestimate how many good people are in the world but I'm careful not to overestimate how many are not tolerant of difference and inclined to do something about it.
There's an old fashioned phrase for when a gay leaning man is married to a woman. They would say she's the "beard."