From my perspective, this statement says more about the man who said it, than about women soldiers. If this were said to me, I’d just give him a straight, hard, no expression look. For now, be the best soldier you can be. Give this leader a chance to appreciate your ability as a soldier and a valuable member of his team.
In the meantime, don’t waste your energy dwelling on this single statement. Sometimes people say stupid things without thinking. To be successful as a soldier, you can’t take isolated incidents like this too personally. Move out and prove to him that you are a superb soldier. Let your performance prove his initial statement wrong.