In the story, as well as in Austen's society, men had to be more careful than women when selecting their friendships. Friends were not only amicable companions, but also endpoints for networking, and making business. Male friendships defined the man, as well. This is why males often associated with their equals, so that they could get admittance (for example) to all-male clubs, hunting, and other networking activities.
Women, however, did not have such intense pressure on their shoulders because they did not negotiate, held businesses, nor had the responsibilities given to males. As you can see Anne free to associate with whomever she wanted, but her father would suggest that she keeps it at level (which she did not do, as she continued to befriend Mrs. Smith). Still, women may have had a harder time associating with each other because there is a chance that women did invest themselves emotionally into their friendships with other woman and, should one woman betray the other, the social and emotional consequences are more bothersome than those of males.