I’m a woman. I whistle. I whistle very well. I also sing very well. My father whistles very well. My siblings (all female) whistle well. We had a family whistle for when we got lost in a store or something.
I have never heard my mother whistle, and she may not know how – she sings though. We are a family who sang around her piano.
My husband cannot whistle and cannot sing on pitch. Neither can my daughter. I think these may be two separate things though.
Our society is still much more tolerant of men being noisy and drawing attention to themselves in public. It can be dangerous for women to do so, in any case. There are probably a lot more women who just don’t whistle in public than can’t whistle.