I don’t think it’s especially common for either gender, but in my experience - FWIW - it’s far more common among women. I know and have known women who go about their day giving a virtual play-by-play along with color commentary of what they’re doing and thinking with no intention of communicating this to anyone else other than themselves. I don’t recall encountering any men who do that.
Is my experience atypical, or does this reflect others’ experience as well?
I don’t know but I’m female and definitely say a lot of things out loud. I talk to animals, I talk to the people on TV, and sometimes I have to tell myself stuff so I don’t forget it.
I hadn’t noticed before, though I do have conversations with my stoma - he farts and sometimes I work it into the conversations with him [like - Joey, stop complaining about what we had for lunch - stuff like that =)
I wonder if it’s a get’n old thing too?
I’m a male, and like @Dung_Beetle I’ll talk to the characters on the tv, my pets, and just think out loud sometimes.
I don’t recall doing this when I was a kid or a young adult.
I talk to myself and the cats all the time. It got worse when the pandemic started and I didn’t see a live person for months. I don’t remember when I started doing it. I even did it at work. I can’t tell you how many times I was walking down the hallway, bitching about something to myself and walked into the restroom and realized someone was in a stall. Sometimes I would cover by ducking into a stall and pretending I was on the phone. 
I’ve always talked to all the dogs we’ve had over the years – even when I was a kid. I’m a woman btw.
I’m a woman and talk to myself occasionally. Maybe a few words a day, and not every day. I talk to the cat a little as well. My husband, on the other hand, talks to himself and to the cat a lot, many sentences a day, every day.
I’m a guy and I talk to the dogs all the time; what’re they, mind readers?
But if I’m grocery shopping and hear someone muttering to themselves, it’s usually a woman.
Anecdotal, but I shared an office with a (male) technician for 13 years. He constantly talked to himself. All. The. Time. It was really weird at first, but my brain eventually rewired itself to filter it out.
I am male and I don’t talk to myself. It takes volition and effort for me to turn the thoughts in my head into words that come out of my mouth; it is not something that happens spontaneously. I would no more go around talking to myself than I would go around writing to myself.
This can be a handicap when it comes to conversation and socializing, and I find myself envying people who can easily verbalize what they’re thinking and feeling. But I also find myself bemused by people who babble on with no filter, and think “Why are you telling me this?”
Anyway, I’m sure there are people who talk to themselves, and people who don’t, among both sexes. It would not surprise me at all to learn that there are more women than men who talk to themselves (don’t girl children tend to be more verbal, or verbal at a younger age, than boy children?). But I think we’d need more than anecdotal evidence to base that on.