It should be noted that in Christianity at least (I am not well enough acquainted with other religions) angels are generally regarded to be asexual.
And in common with many of christianity's prayers being written in the male form (he, his etc) there is a common assumption that Angels, especially when referenced by name or personality, are male. Archangels Gabriel, Michael, Raphael and Uriel are all good examples of that. They are (according to christian doctrine) asexual but have many many male characteristics since Christianity would be extremely unlikely to portray warriors and messengers of God in a female form since that would be counter to the majority of the Christian belief system. If anyone assumes Angels to have any sex at all, it would be male.
DA, perhaps they think you're female because you behave like a little girl?
EDIT:
It is also important which kind of angels you are referring to, since some have 'hybrid' bodies with multiple faces, many wings, many eyes, or different body portions. Most of which you couldn't classify as an animal, let alone a gender type of human being.
First rank of angels:
Seraphim (6 wings and blazing light)
Cherubim: Guardians of heavenly light (
They have four faces: one of each a man, an ox, a lion, and an eagle. The ox-face is considered the "true face", as later on in Ezekiel the ox's face is called a cherub's face (Chapter 10). They have four conjoined wings covered with eyes, and they have ox's feet.)
Thrones
I stopped after the first two because i think you're beginning to see the pattern, and i can't really be assed to describe all of them
Second rank of Angels:
Dominions
Virtues
Powers
Third Rank of angels:
Principalities
Archangels
Angels
So they are all somewhat different as i was taught/understood it. The ones DA would be referring to are Angels or Archangels, which are generally given a somewhat human form but as mentioned above are asexual.