I've heard that women taking testosterone (a male hormone) to help them build muscle experience rougher skin as a side effect along with a deep voice, more body hair and courser/ more oily hair in general. So I guess it's due to the lesser amounts of testosterone present in their bodies which causes women to have softer skin than men. Also the fact that women tend to care for their skin more probably helps, but even in a woman who doesn't take care of her skin, there would still be a large difference in how soft her skin is compared to a man's.
I would guess it's probably an evolved trait. Soft skin is associated with youth, so is a sign of fertility (so cavemen would choose women with soft skin to increase the chances of having a greater amount of healthy, strong offspring).
It's likely that gender dysmoriphism has played a part in it being evolved. As men have rough skin, being the exact opposite makes the woman appear more attractive.