Only complete tools and moral busybodies care that an author writes or roleplays as a diverse roster of fictional characters. (It's called being a creative. That's sort of how it works.) 

But to your point of preferring to play as female characters in RPGS/MMO's & the like, isn't all that unheard of either. [i]My older brother is the same way.[/i] And sometimes, there's simply more aesthetic/customization choices for female characters. Or alternatively, the class you wanted to play is gender-locked. So you don't have much of a choice, especially if you tend to favor certain classes. And, for min-maxers out there, sometimes men and women have different buffs and stats too. So, if you needed any other reason than "do or write what's fun for you", you could probably find them...

But you shouldn't let someone else tell you there's anything unique about that. (Whether to shame you, or to make it out to be something more special than it really is.) 

It's just a personal preference, and everyone has it to some degree or another.