I assume that you are asking about the cones that are involved in the reproduction of conifers. If so, there are two reasons why female cones would be larger than male cones.
First, female cones' role in reproduction is to hold the seeds that will be pollinated by pollen from male cones. Pollen is very small -- it is released up into the air and spread by the wind. Therefore, male cones don't need to be big. Seeds are relatively big. Because of that, there needs to be more space in a female cone and that means the female cone must be bigger.
Second, the female cone is a target for pollen. It has to simply stay on the tree and "hope" pollen hits it. For this reason, it makes sense for the female cone to be bigger so that there is more chance of pollen hitting it.