That's not quite accurate. They commit suicide to send a message. Since the goal of the suicide is to communicate the message, not the death itself, there's less emphasis placed on choosing a surefire method. So comfort tends to be prioritized in the attempt, and typically the more comfortable methods are not always lethal, or are easy to save people from.

Whereas with men, the death is the mark of success. Men don't commit suicide to send messages. When men commit suicide, their mentality isn't just that they want to die, it's that they need to die. And if they fail in dying, living with that failure would be even worse (whether or not that's true, that's the mentality). So they go for options that ensure the death will occur.

EDIT: This is why male methods of suicide aren't just lethal, but leave no room for backing out. They tend to be quick or irreversible once initiated. Often times men who commit suicide don't necessarily want to die and they struggle with the thought of suicide, trying to discern if there is a better path. They don't want to die, but they feel they need to die. So they opt for methods that will be quick and mentally work themselves to a point where, if even just for a split second, they will break through the self-preservation instincts of the mind. Just a split second is all they're looking for.

The tragedy of this is highlighted in survivors of bridge jumps. They reach that split second and jump. But as they're falling, once that split second has passed, the realization and fear and panic sets in. If we could only reach them, most men who commit suicide would emphatically regret their decision. It's not what they want. But they convince themselves it's what they must do.

EDIT: Whereas with women, they may want to die, but they don't necessarily feel they need to die. They don't feel the same sense of duty men get. They choose suicide because, out of all options available to them, they feel it's the best one. Men choose suicide because they feel it is the only option available to them.