Part of educating people is dealing with this issue. You should not be upset. I understand why you are heart broken. However you've got yourself a huge lawsuit right there. It's against the law for them to do that.
One thing you have to understand is what Shantel pointed out. In general they are more likely to face problems of a man impersonating a woman and going into the woman's dressing area.
Nowadays everyone has cameras on them and if a man snuck in and took pictures of the women Macy's could get sued. So it's not a matter at first of them not accommodating you. They have to err in caution.
However by the time you got to the manager she should have apologized and escorted you back to the dressing room. Unless it was an open stall dressing room where women gather locker room style, there shouldn't be a problem. If there were stalls etc then you need to document a complaint and send it to the District Manager.
Do not hesitate to do this. I can tell you right now, threatening with "loss of sales" ala "Julia Roberts in Pretty Woman" doesn't make a dent. They don't care. The workers and the managers don't because they are usually under paid and cynical and worked to the bone.
Who cares? The legal department. I would ask for the security videos to be pulled so that you can see that you asked both the guard and the manager. Send a letter in, be sure to find the name of the people who did this and write a letter. It will go in their personnel file and when time comes to get a promotion they aren't going to get it because of this. Trust me.
If you call and complain nothing will happen. Document it.
Plan for this to happen. Be fair, it's understandable for the security to look out for the protection of the customers. But once you have stated that you are a woman and want to use the dressing room if they don't allow you, don't get upset, tell them "I get this all the time, but trust me I'm a woman" if they still deny say OK and calmly jot down the name, ask the floor and ask the time. Just jot it down and walk away.
I'm sorry you had this happen.