The angle of the razor blades (men’s are placed at a more oblique angle and usually closer together, because men generally use shorter strokes—so men get a closer shave but a greater risk of cutting themselves) and the design of the head casing (women’s razors are designed to be better able to gather longer and finer hairs for cutting).
None of this explains any sort of price difference, but there is a functional difference in razors marketed toward men and women. I will say, though, that my wife prefers the shave she gets from “men’s” razors, so there’s a datapoint of possible interest. For my part, I’d happily buy razors no matter whether they were pink or blue or grey or clear, just so long as I get the closest possible shave without cutting myself.