I run a game set in Victorian London, so gender roles are particularly important to my game. I have 3 men playing men, 1 woman playing a woman, 1 woman playing a woman cross-dressing as her dead brother (one of the finer character concepts I've seen in a while, although this short description does her little justice), and 1 man playing a woman. None of them has problems portraying a gender, but some of them have problems with anachronism, and that bleeds into gender issues quite frequently. Bluntly put, Victorian culture was very sexist, and sometimes it's hard to get in that mindset. I want the male characters to be shocked by a woman in trousers, and I want the female characters to be appalled at the ingallant behavior of a man who would not help a lady descend from a carriage.
My players have no problem playing a character of a particular gender; it's when that gender is defined by a different set of cultural norms than our own that it becomes difficult. And I rather expect that, really--it's fairly hard for me to imagine owning a human being, or living in a world where the germ theory doesn't exist, or being ruled by the edicts of an individual rather than a system of laws. Plotting changing gender roles across history is a wide-ranging field of study (one of my undergraduate advisers specialized in the study of ancient women), and I can't expect every gamer to be a historian. Maybe it's easier for people who run games set in the present day, I don't know.
TL;DR: Roleplaying gender in a society you didn't grow up in is straight up difficult, no matter what your real-life gender may be.