I defy your claim that women "usually" say "nothing's wrong". Can you substantiate the implicit claim that this is what the majority of actual women do (apart from your own anecdotes)?

This is certainly something that actual women do often enough for it to be a noticed part of the general culture. (Google "women nothing's wrong" and find hosts of examples.) Going from the majority of actual women to the usual woman whose man complains he can't understand women is a difficult transition to make- obviously those groups should have some systematic differences.

Indeed, it appears a common explanation for this is that the woman is testing the man: does he care enough to draw out why she's upset? If that's the case, advice given elsewhere in this tree to back off and give her time would backfire. (If that's the case with this particular scenario, though, then Alice would probably start talking about it during one of the questions. The sticky part is how far the man has to probe, and when the man should decide to leave it alone vs. be persistent.)

By comparison, I'll use my own experience with men to counter your claim that men "usually ask what's wrong".

That experience seems in line with the scenario SilasBarta posits. For the woman, it's frustrating that the man doesn't understand the message she's sending; for the man, it's frustrating that he doesn't understand the message she's sending. The communication breakdown is that neither of them seems willing or able to use the language the other is using; the woman is unwilling to explicitly articulate the problem and the man is unable to implicitly understand the problem.

(Typically, I see unwilling as easier to fix than unable, and I suspect that's true in this case. I'll talk more about that later.)

So, is the man "lazy"? Well, he's certainly putting in time and effort attempting to fix the problem- which to Silas is evidence that he's not lazy. One solution method is for him to create an effective model of Alice, which requires getting training in female culture, which requires a lot more time and effort than just asking her what's wrong now. But it seems to me that 'laziness' is not the reason why Bob doesn't choose that method- he probably doesn't know that's something he can do. (It may even be the case that he can't. Perhaps even after hundreds of hours of training Bob will be unable to correctly parse signals sent by Alice.)

Now, why is Alice unwilling to explicitly talk about why she's upset? Perhaps Bob is quick to dismiss reasons Alice thinks are significant. Perhaps Bob has different standards of proof than she does. Consider: "I don't think Carol likes me." "Did she say she didn't like you?" "No... but she crossed her arms at me." "But that could mean anything!" Alice crosses her arms at Bob.

If that's the case, then Bob might be able to make Alice more willing to talk by being more willing to listen, and slower to judge.

Alice's reasons for being upset could be embarrassing for a variety of reasons. Maybe Alice is mad at Bob because she had a dream that Bob did something mean to her. (Yes, this actually happens.) She can't just stop being mad at him, but she can't explain why she's mad because Bob will think it's crazy. In cases like this, Bob can't do as much.