Same reason why professional male runners wear the super tight pants, it allows you to move and stretch freely, just covered by a skirt to not show other goodies or attract too much attention.
The male tennis shorts are 90% the same, just no skirt, the tights underneath and a short over, and i personally think that the skirt is more comfortable. But it might shake the tennis world too much if guys show up in skirts.
Really good question! I would have to assume it started way, way back when... female athletes (and females in general) were required to wear a skirt all the time! I assume that over time the skirt style and appearance evolved to what we see today. On another note... you'd be pretty hard pressed to find a guy that doesn't think the look is extremely hot and in a society where sex sells and tennis needs marketing... where did all these smokin' hot players come from lately? Not a coincidence!