Now whatever prompted that question, I wonder...
I can't really explain it -- there are probably as many reasons as there are people who cross-dress, really. It just feels right, I guess. For others it's just a bit of harmless fun, at parties etc., for still others it's entirely a sexual thing, related perhaps to an idea of women being traditionally the more submissive gender so dressing up as a (fetishised depiction of a woman) helps some men to explore that side of themselves.