I don't believe that. I do find male characters more interesting than female characters on average, but that's simply because the vast majority of female characters, in genre shows at least, are terribly written. When a well written female character comes along I enjoy that character as much as I do any male. The extreme popularity of Buffy on this website should convince you of that.
In fact Buffy was probably the first show where I actually had emotional investment in the main character. The only other Sci-Fi/Fantasy show at that time to manage that was Babylon 5. The gender of the central character had little to do with it.
Voyager - In the case of this series, I just couldn't stand Janeway. This had nothing to do with her gender and all to do with the fact she annoyed the hell out of me. Lord knows how much I wish Seven became the main charcter, atleast she was interesting. Then came Enterprise, with an equally annoying Captain.
Xena - Strong main female character, better show then Hercules.
Irene Adler novels - The central character was "The Woman" from Sherlock Holmes, a character who . Though I did find myself getting irritated every single time half a page was taken up describing what Irene was wearing, though that has more to do with the writing then the character herself.
I'll admit I can't really come up with more, but that's mostly to do with a lack of shows where there are impressive main female characters.
In the case of women Doctor Who seems to be very popular with them... Though that could be because of them having the hots for the central character. It won't be their only reason for watching it, but it'll probably play a part.
The only time I have trouble with female main characters is in RPG's where the character is a blank slate meant as a sort of avatar (as opposed to RPG's where your more in an advisory role and the character largely makes their own decisions). This however is a different form of involvement where you are very actively interacting with the story.