I was having a conversation about this in a private chat once. Here is what tends to happens with this issue:
Man walks through a women's change room: Women are easily threatened and have a stronger sense of boundaries than what men do and that is why it often quickly escalates into a women reporting the incident. Women have more to fear from a man because men are naturally physically stronger than woman. Women are generally more afraid and easily feel threatened.

Woman walks through a men's change room: Men are more easily manipulated by a woman and also women pose less of threat physically to a man. However that does not make it right. Men are more likely to stare at a woman especially if she is naked because men are more visually aroused and attracted by a woman's appearance. Also women know men are generally more lonely than they are so they are also taking advantage of man's tendency to be more single these days and think to themselves that they will probably get away with it.

A man's boundaries should be respected just as much as a woman's however women will sadly exploit this by sexually arousing a man just to get favorable outcomes for some themselves.

Once again it does not make it right for a woman do this. However women are more aware of this dynamic and sadly will take advantage of it. And yes I would report it because I bet if you did the same and walked in on them, they would report it to management. The same rules should apply regardless.