Because they're creepy pedos.
Boys have sleepovers too, but those don't appeal to AGPs because they are not sexually attracted to young boys. To an autogynephile, the trappings of femininity can be as sexually arousing as an actual sex act, and I assume that to an autogynephile who is also a pedo (I have no idea what the crossover statistics are, but they seem pretty high) that applies to anything associated with young girls as well.
So even if the "girls' sleepover" experience is not being explicitly sexualized, it's obvious from these men's inappropriate fixation that there is an erotic element attached to it, whether that involves an overt sexual fantasy or not.
AGPs have learned to be quiet about their fetishism in public and so they'll try to disguise their sexual desire with bullshit about "second puberty" and "I missed out on my childhood as a girl!" But your brain is still very good at recognizing inappropriate behavior in adult males, and that is why you are creeped out.