It's because they tend to accentuate the shape of your legs, the tilt of the pelvis (women always have more of a tilt to their pelvis than men, and heels accentuate that universally feminine quality even more).
They also cause your arch to back (women also have more of an arched back then men with a more elongated abdomen that protrudes, designed for childbirth).
Basically they accentuate features universally found in women and also tend to lift everything up.
There are certainly things you can do that naturally make you look more feminine. High heels are one, you can also wear those wide belts above your hips. I don't remember where I found this, but it was an actual scientific study.