Activity asset from field

Is it possible to user a profile field as an asset for the activity stream.
Currently I have a Gender drop down selection cb_gender and would like to filter the activity stream by male or female.
I tried both asset - cb_gender.male and cb_gender.1 but neither worked.

The Asset parameter supports substitutions, but no you can't filter activity entries by a users profile field. Unless you actually have activity entries stored with such an asset you'd likely just end up with an empty stream.

Would an auto action to add each user that selects gender to be added to the coresponding asset list be feasable?

You can't filter activity by a user field. If you want to add the value of a field to an asset then yes you can do that using substitutions (e.g. [cb_gender]).