In some games, the females are the agile and nimble ones while the guys are heavier and stronger, I am more of a speed build myself and would like to play someone who is agile and nimble who can roll attacks into one another. Some female characters have moves I prefer over guys as well (Street Fighter for example), then there's games like Skyrim, Pokemon, and other RPGs where you get to choose, some games have no choice but to pick male characters. In Fallout 3 there was a perk called Black Widow where you deal more damage to male characters, well, in that game - 85-90% of the enemies are considered male characters or are abominations. It's always nice to get that boost and in Skyrim, I wanna try everything out, a female character wouldn't be creepy because there are women who play as male characters all the time (more often than guys playing female characters since most games don't give you a choice).
Plus, would it be creepy for a guy to play Tomb Raider games or Lollipop Chainsaw?