A "gentleman" was historically an upper-class, wealthy man in European society. Today, when you call someone "a gentleman", it means that you think he is polite. Because the word comes from old historical ideas, it has the feeling of being old-fashioned. So when people use it, there's usually a small sense that it's a joke.
Unfortunately, there's no word for a really polite woman, although if you tell a woman who holds a door open for you "You're such a gentlewoman", she'll probably think it's funny.