Gentlemen another name for men. Of course as opposed to a redneck who may not have the qualities of a gentleman.
I'm guessing we're talking about people who have a penis and set of balls being called gentlemen?
You wouldn't necessarily call a woman a gentleman. Although, you could refer to her as a gentlewoman or gentlelady as used for a congresswoman.
To answer your question though, is it offensive that only men are referred to as gentlemen? No I don't think it's offensive.