There are several animal species that have the ability to change sex under certain conditions, for example, the clown fish. If Beast Boy were to change into a clown fish (or another sex changing animal) would he be able to change sex as well? Has he ever been shown to do this?
While he has never been shown to do so, the nature of his powers should allow it.
He has shifted into forms of creatures that don't even exist in the past, and Marv Wolfman has even stated in an interview that his powers should allow him to shift into other humans. There is nothing to indicate that this would be limited by biological sex. He can also shift into the form of creatures that have no sexual dimorphism (such as a parasitic worm).
As a male, he most likely changes into male animals reflexively, but could shift into a female form (or other sex if he shifts into an alien species with more than two) with some extra thought and effort.