Consider the first generation of offspring derived from a hybrid cross (that is to say, a mating between two genetically differentiated parents). Given that there is a consequential reduction in fitness that is more severe in one of the two sexes, that sex will tend to be the heterogametic sex.
Determining the actual causes of Haldane's Rule is the subject of much current study. Haldane's Rule is arguably the most robust generalisation that can be made about speciation (Coyne and Orr, 1989).
Coyne JA and HA Orr. 1989. The evolutionary genetics of speciation. Phil Trans R Soc Lond B 353: 287-305.