Personally, I wouldn't bother saying anything.
What I would do is stand proudly, smile and stare at them so that they know you're listening. This is especially fun when you see one person nudge another and wisper because you know that the other person will turn to look - they usually get embarrased and turn away quickly. It's a little game, a way of telling people you know they know and you don't care.
One thing to remember is that the woman, however rude it might be to say it out loud, was telling the truth!
All the Best,
Ann / SS, a proud 'man in a dress'