Another way to think about it is that the gene-science used to create the Primarchs and marines was exceptionally difficult. Neither the Emperor nor a similar powerbroker ever succeeds in replicating the same Primarch -> Geneseed relationship again.
Given how precarious the geneseed mutations of male candidates were found to be, it stands to reason that there simply was not enough expertise to then also create a similar process for female marines. Even before the Heresy it's well known among the Primarchs, Malcador and the Emperor that several legions possess unstable geneseeds. It's even hinted that at least one of the two lost legions suffered the fate of expungement due to faulty geneseed. Hence, a process as finicky, and frankly error-prone, as the creation of a space marine probably never gets to the point where the powers that be consider expanding to female subjects.
Also note that the Emperor's Custodians are also all male. It could simply be that the gene enhancement techniques developed during Terran unification focused only on male physiology too. There was not a need for more warriors so much as an efficient and trusted cadre of super-human ones, the Adeptus Custodes. If so, again the need for investing research and development into female enrollment is not needed when a small number of elite male warriors would suffice.