In the environment of evolutionary adaption for humans, there was a division of labour. Men hunted, and women gathered. For a couple of million years, this was the case. This is strongly supported by archaeology, by studies of modern day hunter-gatherers, and by sound scientific theory.
In that environment, it was important for the men to be nimble. They acted like predators, and they had to be able to run and jump and fight. In order to do this, and to impress the women, they had to have a certain amount of athletic prowess. It would be to a manís disadvantage to be hampered by some encumbrance.
Men do sometimes get a bit fat. When they do get fat, they tend to retain comical skinny legs, and gain a paunch. They put on fat round the belly. The centre of gravity for a manís body is about two inches behind his navel. Interestingly enough, this is the centre also of where he tends to store his excess fat. Much of the fat in a manís paunch is under the abdominal muscles, exactly at his centre of gravity. This is the most efficient place to carry excess weight. It is the least hampering place to put on fat. The most hampering would be the furthest from this centre of gravity. A man with great blobs of fat on his hands and feet would find running and jumping a great struggle. Evolution has led to good design.
Women, though, are different. They do not end up with beer bellies and skinny legs. Instead, they get fat thighs and backsides. There must be a reason for this.
In the past, our female ancestors did not have such great pressure on them to be athletic. Gathering is not a frantic activity. The women would have gone around in groups, often tending to children as they gathered. If any dangerous predators turned up, they did not escape death by running, but by calling for help, throwing stones, using pointed sticks, fire, group tactics, and the like. The cost, therefore, of having fat away from the centre of gravity, was not very great for women.
There was a definite cost of a paunch. Paunches are not sexy. The reason a paunch on a woman is not sexy is simple. A woman with a paunch looks pregnant, and pregnant women are in no state to be impregnated by a man, and so menís instincts will evolve to find big prominent bellies unsexy. In order to avoid appearing pregnant, women evolved to deposit fat stores away from the belly, and the next nearest place was the backside and thighs. Here, the cost of encumbrance was that women could not run quite as fast as otherwise they might, but the benefit of looking more fertile was greater than that cost.
That, in my opinion, is why women have fat thighs.