source: forum.wordreference.com
I try to avoid the whole "female / male friend" "boyfriend / girlfriend", by simply saying "friend". If the sex of the person is important, it is usually easy to say something like "he / she said...".Just don't delay too long before you use the gendered pronoun.
There really isn't a good term for friends of the opposite sex with whom you are not romantic, or for friends of the same sex if you want to specify their sex.
I also have noted that when a man says "my friend", people assume it's a male friend,
and apparently when a woman says "my friend", likewise people often assume that it's a male friend.
I draw this conclusion because I often hear (married?) women refer to "my girlfriend",
seemingly to insure that no one thinks for even a moment (during the delay before a pronoun) that they have a friend of the opposite sex.
Lesbians have girlfriends with whom they are not romantically involved: I myself am one of these 'girlfriends', as my friend lives with her lady-love.
That said, I think the general rule is that when there is even a slight chance that what you say may be misconstrued, it's best to be specific.
(obs.: these people above took part of this conversations, but these are not their actual sayings...)
source: forum.wordreference.com