This is an often misquoted study [1]. The complete picture is actually different in that the male monkeys had an anti-plush toy bias, but the female monkeys had no clear preference for either wheel or plush toys (regardless of what you want to infer from that):
Mirroring the marked sex difference in infant interactions and children’s toy preferences, male monkeys interacted significantly less with plush toys than did female monkeys. By contrast, males and females interacted with wheeled toys comparably, displaying no reliable sex differences. As is the case with sex differences in children’s toy preferences, only male monkeys showed a significant preference for one toy type over the other, preferring wheeled over plush toys. Unlike male monkeys and like girls, female monkeys did not show any reliable preference for either toy type.
[1] http://www.ncbi.nlm.nih.gov/pmc/articles/PMC2583786/