Yes I've heard that, I believe I read that in the book Tribe? Don't know if you've read it, but it is fascinating read. I believe in the book it was put down to the fact that women are social creatures, and wealth accumulation is a great killer of social connections. Though I always put it down to the fact that when you work for society, you basically enter into a relationship with it. My belief is that women basically suffer more from this type of relationship than men do and that's why women with wealth end up having more mental health problems than their male counterparts.
Whether that's accurate, I have no idea, but we certainly do need to get to the bottom of why so many are suffering mental health problems.