It depends whether you are using the word as a noun (I'm a female) or an adjective (I'm female). Both are possible, although 'I'm female' is probably more common.

You can go with "a female" if you mention it for the first time and you can use it if it serves as a nominal part of the predicate :)

thanks !

In this case, both are correct, because female is both an adjective and a noun.