There are three reasons (at least) that shorts on ladies are immodest:
1. Isa 47:2-3 Take the millstones, and grind meal: uncover thy locks, make bare the leg, uncover the thigh, pass over the rivers. (3) Thy nakedness shall be uncovered, yea, thy shame shall be seen: I will take vengeance, and I will not meet thee as a man. According to this passage, revealing the thigh (the part of your leg above your knee) is revealing your nakedness. That is immodest in it's purest sense.
2. Many young ladies like to wear men's walking shorts. Though these are often long enough to cover the thigh, they still are "men's pants", an abomination.
3. Men's walking shorts reveal the form of the lady's body. Again, this is immodest.