Here are some Biblical Scriptures which may help to clear up why Angels appear to be male.

All scriptures quoted are from the King James translation. Matthew 22:29 and 30

Jesus answered and said unto them, Ye do err, not knowing the scriptures, nor the power of God. For in the resurrection they neither marry, nor are given in marriage, but are as the angels of God in heaven.

Since Demons (Devils as you call them) are fallen Angels those are sexless beings.

These Scriptures, are generally taken to indicate that Spiritual beings which would include the tripartite God are sexless beings.

So let's take a look at some other Scriptures and see just what we can determine from them.

Matthew 19:4 And he answered and said unto them, Have ye not read, that he which made them at the beginning made them male and female,

Mark 10:6 But from the beginning of the creation God made them male and female.

So Just why did God decide to make them one of each?

The main reason for even giving them a gender to begin with is because there has to be some way to excrete waste from the body, which is the main function of those organs. Those organs have a secondary purpose which God intended for his purposes.

Gen 1:27 and 28

So God created man in his own image, in the image of God created he him; male and female created he them. And God blessed them, and God said unto them, Be fruitful, and multiply, and replenish the earth, and subdue it: and have dominion over the fish of the sea, and over the fowl of the air, and over every living thing that moveth upon the earth.

note: God told them to replenish the Earth, and this was prior to the fall, which shows that God is all knowing since death was not yet in man's future.

God created man first:

Genesis 2:7 And the LORD God formed man of the dust of the ground, and breathed into his nostrils the breath of life; and man became a living soul.

So why did God create Eve? Eve was created first to be a helper to Adam:

Genesis 2:18 And the LORD God said, It is not good that the man should be alone; I will make him an help meet for him.

But that was not God's only purpose in creating Eve. As I said before God is all knowing and the so the fall did not take him by surprise! Remember God said replenish the Earth. That could have been said another way in that God could have said "Okay you dummies since I know that you are going to mess up my perfect world and sin, you need to provide your replacements so I can work out my plan." Of course that's my way of saying it God would probably have been more Diplomatic.

As for the other physical difference between men and women, the baby bottle was pretty far off in the future, and since God did not want babies to go hungry, he provided a way for the mother to feed the young until they were old enough to eat more solid nourishment.

Since neither of these processes are going to be necessary in Heaven, it only seems reasonable that those physical parts will not be a part of our resurrection body, or for that matter Jesus' resurrection body either.

There is a vision in Zechariah which tells us about a female wicked being. And two female spirits who transport her.

Zechariah 5:7-9 7 And behold, the leaden cover was lifted, and there was a woman sitting in the basket! 8 And he said, “This is Wickedness.” And he thrust her back into the basket, and thrust down the leaden weight on its opening.

9 Then I lifted my eyes and saw, and behold, two women coming forward! The wind was in their wings. They had wings like the wings of a stork, and they lifted up the basket between earth and heaven.

In addition to @mojo's answer, I think we must distinguish between "male" and "masculine" and "female" and "feminine".

I'm quoting from Dr Peter Kreeft's article on Sexual Symbolism.

we must distinguish "male" from "masculine." Male and female are biological genders. Masculine and feminine, or yang and yin, are universal, cosmic principles, extending to all reality, including spirit....

Male and female are only the biological version of cosmic masculine and feminine.

Masculinity is characterized by the giving of itself, whereas femininity is characterized by the receptivity to another (not going into much detail about that here). Because demons are fallen angels and angels are spirits without bodies, demons are neither male nor female.

The sexual symbolism in the Bible always portrays angels as "men" whenever or wherever they appear. Thus it is likely that all angels are masculine. Since demons are fallen angels, it is likely that they too are all masculine. Whether there are any feminine angels (and so also feminine demons), we do not know.

Spiritual beings do not have physical bodies.

Luke 29:34 (NASB)
"See My hands and My feet, that it is I Myself; touch Me and see, for a spirit does not have flesh and bones as you see that I have."

While the spiritual beings mentioned in the Bible are described as "men," they are not exactly "males" in the sense that we use to classify physical organisms. What does it mean for a spirit to be "male" then? (Genatalia? Testosterone? Leave their dirty socks on the floor?)

I assert that these beings were described as males because of the (appointed) dominant position that males have in God's created order. They are not "men" or "male" any more than they are "women" or "female" except that they appear (outwardly) as men so that it is more socially acceptable for them to deal with leaders and other people in those societies.

To answer your question: There are no female (or male) devils mentioned in the Scriptures.