Women do the same all the time, but it isn't expressed in the classic, nerdy fashion. Heroes, fictional or non-fictional, say something about the culture that brings them up and the individual that admires them.
My heroes (fictional and non-fictional): TE Lawrence, Abraham Lincoln, Stephen (the first martyr), Alexander Solzhenitsyn, Peter Sellers, The Savage, Jean Valjean, Captain Picard, Captain Kirk, Odysseus, Ender Wiggin, Mazer Rakham, Paul Atreides, John Adams, Alexander Hamilton, Edmund Burke, St. Augustine, Tony Stark, Steve Rogers, Nikola Tesla, Fyodor Dostoyevsky, Dmitry Aleksandrovich Sologdin, Paul (the apostle), CS Lewis, Mark Steyn, Bryan Rhode, Frank Castle, Walt Disney, The Brave Little Toaster, Jack the Giant Killer, Jason (of Jason and the Argonauts), and many, many others I assure you.
Judge me however you like, but the list says a lot about who I am and what values/qualities I admire even if they contradict each other. For a more modern example see Steve Rogers and Tony Stark.
Some men I know take it to the extreme. I have a good friend who calls himself the wandering knight because he seeks to save people. Commendable, but I've always been the type who would like to further explore the meaning of things (keyword explore) and save people in so far as letting them sort their own lives out. Sure, I'll save a damsel in distress, but I don't go seeking damsels to save. I'd rather fight and die for a revolutionary ideal, or give something that will better serve the whole of humanity...come to think of it, maybe my list of names reflects that as well.
Either way, women do the same thing. Some choose men they would fantasize being with because they admire them so. I know one lady (a professor) who is probably in love with George Washington. Some choose women that reflect their highest ideals, hence the perennial fixation of women on all things Jane Austen.
At the end of the day though nerdy hero worship isn't their modus operandi simply because women tend to strive for a more supportive role. There is less to admire in a hero if you yourself do not seek to become one. Furthermore, what is there to admire in another lady who plays more of a supportive role? When men fantasize, they jealously desire a larger than life role they will likely never assume. Women are drawn to the same larger than life power, but not in the same sense. They wish to be the Princess Leia to the Han Solo, but that isn't really because of Princess Leia, it is because of Han Solo. Being Princess Leia isn't nearly as difficult a task (granted you have to be born into wealth as the orphaned daughter of a Queen and a psychopath with respiratory issues).
Say you wish to gender bend. I will bet my bottom dollar more men appreciate the exploits of Margaret Thatcher and Queen Elizabeth I than women.