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Cycling is an outdoor activity with massive health benefits, and an effective solution towards sustainable urban transport. Despite these benefits and the recent rising popularity of cycling, most countries still have a negligible uptake. This uptake is especially low for women: there is a largely unexplained, persistent gender gap in cycling. To understand the determinants of this gender gap in cycling at scale, here we use massive, automatically-collected data from the tracking application Strava on outdoor cycling for 61 cities across the United States, the United Kingdom, Italy and the Benelux area. Leveraging the associated gender and usage information, we first quantify the emerging gender gap in recreational cycling at city-level. A comparison of cycling rates of women across cities within similar geographical areas unveils a broad range of gender gaps. On a macroscopic level, we link this heterogeneity to a variety of urban indicators and provide evidence for traditional hypotheses on the determinants of the gender-cycling-gap. We find a positive association between female cycling rate and urban road safety. On a microscopic level, we identify female preferences for street-specific features in the city of New York. Enhancing the quality of the dedicated cycling infrastructure may be a way to make urban environments more accessible for women, thereby making urban transport more sustainable for everyone.