Huzzah!
http://media.tumblr.com/tumblr_lraasoeMV11qafrh6.gif
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I think of my chocobo as female, and thus is female.
Actually, this isn't entirely correct, as I never actually joined a Grand Company in 1.0 and hence never had a personal chocobo until ARR, yet I still started with the Legacy chocobo because I had Legacy status - there's no real lore explanation for it really. The in-game description just seems to be a kind of throwaway reference that's not meant to be thought about too much.