George Lucas and/or his make-up effects designer decided, since it's been that way since Return of the Jedi.
Not so... look at Oola in ROTJ. The cones aren't her ears, they're silvery, part of the headdress.
They could easily have decided that Oola had regular humanoid ears UNDER the headdress, but at some point between 1983 and 1997, George decided to approve someone's misguided notion that Twi'lek women had cone-ears. Probably someone who completely forgot that Bib Fortuna did NOT have cone-ears; who thinks to themselves "Ah, for THIS species, males and females have completely different ears"? Who looks at Oola's headdress with the rounded protrusions on the sides that don't match her green skin at all and says "Those are her ears!!"?
EU showed female Twi'leks with humanoid ears in the Rogue Squadron comics at the very least. If male AND female had cone ears, that'd be one thing... having 'em different is kinda silly. Then again, Devaronian females don't have horns, just dark circles in their fine, short facial fur.