I probably shouldn't say "sexy" but that's the word that came to mind but from what I understand is that skirts and dresses make a woman "feminine". Whether it's true or not, I don't know but what about shorts?
If the shorts are fashionable, not just like sport shorts or something then they can be pulled of as 'sexy' if worn in the right way. I wear skirts, dresses and shorts depending on the weather and occasion but short shorts I wear frequently for nights out because I can sit about, move more and not have to worry about my skirt rolling up whilst I'm dancing and I just feel a little bit more covered and secure with shorts. My opinion on the feminine matter is about what the girl teams it with and the style of shorts, they can look really really sexy and it's the same amount of skin on show if the girl was wearing a skirt, so for me, it's no different. Some girls do pull this look off better than others though, it can be a little hit or miss in places but it's just one of those things.
If a girl some bomb ass legs, shorts can look wonderful on her. Whereas some girls may have not so great legs and skirts and dresses just look more flattering on them. It also depends on the style of the skirt or dress.
They serve different purposes. A dress can be more classy and seem like she is putting in more effort to look feminine. Shorts can be hot, but they are more casual, thus less effort to seem prettied up.