It seems not only he noted that since the very beginning but has always been vocal about it. There is a clip in YouTube from VH1 where he talks with Tony Levin

It seems not only he noted that since the very beginning but has always been vocal about it. There is a clip in YouTube from VH1 where he talks with Tony Levin (it seemed to be around the time they were in the 80's reincarnation of King Crimson) and they briefly discuss it, he acknowledges that women tended to go more even to his shows with his jazz band Earthworks - but for some weird reason they weren't present on King Crimson shoes. Even (if I recall correctly) at the end he asks woman viewers to go to their shows. From my humble corner I can say I've heard of just a girl, _only one_ girl who said she liked prog rock.