First, No, get your mind outta the gutter, this is a family establishment! No, I'm talking about the actual biological definition of Sex in humans, and whether it's applicable to space marines in general. Can a space marine really be said to possess a "sex"? They are sterile by definition, and I'm pretty sure that the sex hormones like estrogen and testosterone are gone, replaced with artificial growth hormones. Do they keep the primary sex organs at all? Aka the gonads? So, they don't really have a sex, and even their Gender designation is arbitrary.
The other thing is, with all the work gene seed does, while I know it's canon and has been that space marines can only be recruited from males, well, that can't really be true. Even if there's some need for the Y chromosome to be present, there are plenty of women who naturally have XXY chromosomes, and many of them are functionally women(there have even been XXYs who have had children!), as well as men who have an extra X chromosome. So, scientifically, there's no reason why you couldn't use an XXY female as the basis for your space marine.
However, this doesn't really matter, as I mentioned in the first paragraph: Marines don't have sex hormones, and I've got my doubt if they have primary sex organs. The penis might still be there, but only because it houses the urethra, and it could even be, theoretically, removed or modified for nothing but it's urination purposes. Remember, men can grow breasts naturally if their estrogen levels get tooo high(this usualyl happens with the use of testosterone injections, the body naturally increases estrogen creation to balance the higher level of T, then when you stop injecting, you have very high levels of Estrogene, leading to man breasts, see Fight Club) as a result of estrogen treatments, so if the female recruit was no longer producign estrogen, he female sexual characteristics would fade. Simple biology, this is why pre-pubescent children of both sexes basically look the same: no sex hormones.
Then, in addition to that, you've got these artificial growth hormones that are fueling massive increases in bone and muscle mass, which would have the same effect on an xxy female: turning them into seven foot tall, massively muscled superhumans. You ever seen a female body builder or weight lifter who looks like a man? Well, yeah, that's because once you get to a certain level of mass and muscle tone, then you're all going to look pretty much the same. Also, no matter what you started looking like, by the time the transformation into a Space Marine is complete, you end up looking a lot like your primarch and battle brothers. Make sense of course: you're using a massive hack to rewrite the phenotype of a human, which is going to consequently override their existing phenotype to a large degree.
So, really, there could be female space marines, and nobody knows or cares, because they all look almost the same as each other, and all secondary sexual characteristics would have been overwritten as a result of the geneseed impanted in them. Even if the process is tied to the Y chromosome, as the Emperor told Malcador, there's still no reason why female space marines could be possible. However, it doesn't matter, because biologically space marines HAVE no sex, and their Gender definition is simply arbitrary. They're not "hes" their "its".
Now, when a space marine turns traitor, this opens up some interesting possibilities via mutation. It's actually not a bad recruiting slogan: "Join Chaos, Get Your Balls Back". Of course, once we get into CSMs, then all bets as to gender and sex go out the window. I mean, ultimately, a Traitor Marine can end up not even being a materiel, physical thing, anyway. I mean, sure Angron is a "he", but I don't think he even identifies on a human level anymore, what with being a Daemon Prince nowadays.
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