Why do you necessarily have to?
We've had female antagonists before, but you'd kinda have to figure a majority of terrorist/anarchist/cult-y types a government assassin would come up against would probably be dudes.
Elektra was actually a really interesting approach though. I'd be all for another female villain, but they've gotta figure out something better than just that whole femme-fatale "evil Black Widow" type of deal. The industrialist angle was really cool last time in TWINE, let's get something a little unexpected like that.
Those Jolie rumors were bugging me, not because of Jolie, but like...you know exactly what they'd do with it. High-profile assassin/female spy cliche type of deal, Salt but more nefarious.