When people say they're curious, it's generally just trying to come to grips with being gay.
Either that, or they're a (mostly)-straight woman either a) acting to titillate male audiences' lesbian fantasies or b) at a women's college or something.
Or maybe they really are just curious. But it definitely means different things coming from different genders, as a stereotypical rule- the old saw that "all women are bi, no men are" is obviously not true but there is something to the idea that, whether because of biology or just social pressure, women tend to have more fluid sexualities.
Awkward oversharing time (against my better judgment): an ex of mine was lesbian before she got to college, and then decided to experiment with guys for a couple of years, including yours truly. She's back to identifying as lesbian, and is married now in fact. We're still on friendly terms- though we're not particularly close anymore, as time and distance does its thing.