We had a lot of fantasy anime/manga during the 90s/early 2000s which were made by and/or appealed to women and girls (e.g Magic Knight Rayearth, Inu Yasha, Fullmetal Alchemist, etc.). Maybe the reason female readers in Japan don't seem to be into Fantasy (anymore) is because 90% of the stuff they[Japanese publishers] put out nowadays is made to appeal specifically to a certain male clientele.
Interesting to note that there are still fantasy manga/anime with female leads, and Isekai, which are fairly popular. Besides that, books like 'A Court of Thorns and Roses' shows that women have just as much of an interest in Fantasy as men do.