During Shakespeare's time women were not allowed to be actors. Since Shakespeare's sister was female, she would not have been trained in acting.
Shakespeare's plays do not have many female roles for exactly this reason. In Romeo and Juliet, the only women are Juliet, Lady Capulet, Lady Montague, and the Nurse. On the other hand, the audience is introduced to many of Romeo's male friends, servants, and kinsmen. Often young men were chosen to play the roles of young females like Juliet because their voices hadn't matured and were more feminine sounding. Older women like Juliet's nurse were played by men, but their roles were often comedic and a male in the role added to the comedic element.