The key point of those "tons of" women fans of serial killers is that some of the latter ones often become widely known, and out of many millions of women who hear about these killers there will be hundreds or thousands of those sociopathic enough to romanticize ruthless murderers. I guess, many of these might not really romanticize, but just making fun out of the conversation with a killer, or want to get some 'relic' from that person, for example a letter in response.
Of course, if the sample is big enough, there also gonna be one who will marry the killer, or even bear a child from him, as it happened in case of Sergei Tkach.