I've heard far more stories of male homosexuals being killed for being gay in the past, for instance. It also seems like people were much more paranoid about men being gay than women in the past.
It certainly seems like that, but I think you could make a case for both sides. Ultimately it depends on how you define persecution, and where you want to draw that line. Homophobic violence against gay men was often more overt and more visible than anti-lesbian violence or social stigma, whereas lesbians often faced subtle but pervasive challenges.
Stepping back a bit, let me define some perimeters for my answer. First off, I'm going to confine my answer to the latter half of the 20th century; before WWII things start to get complicated in how we situate and understand the relationship between sexuality and identity. Also, I'm going to use the terms "lesbian" for female homosexuals and "gay" for male homosexuals in accordance with historical conventions and for the sake of simplicity, although not all folks would have necessarily situated their identities in those boxes. Additionally your question deals with "persecution" and I want to unpack that term a little bit for the sake of clarity. Although persecution is often used to mean general ill-treatment of a person or group due to identity, beliefs, etc, discussions of persecuted groups often also involve discussions of the law and how that group, identity, etc, were legislated. In regards to how gay and lesbian people were poorly treated it's useful to think about what kinds of ill-treatment were social and which kinds were legal (and which kinds were a mix of both.)
Stepping even further back, let me give a little historical context. It's true that most western countries that had laws prohibiting male homosexual sex (usually in the form of sodomy laws) did not have corresponding laws prohibiting sex between women. This obviously makes a huge impact when we're trying to compare the persecution of gay men and lesbians. You could make a simplistic argument in favor of gay men being more persecuted simply because there was a legal opportunity to do so in a way there wasn't for women.
Now to get to a closer examination of the issue. I'll start off with a basic framework: Male homosexuality was more frequently punished in overt ways - think gay bashing/murder, being fired based on sexuality, or being arrested. Female homosexuality was more likely to be punished in more subtle, private (or less documented) ways - having children taken away, forced marriage, the withholding of familial resources, rape, etc. Obviously that's a fairly oversimplified take, but it's useful to keep in mind. In a lot of ways gay men were more visible than lesbians. This visibility was a blessing and a curse. It meant that although gay men were able to create vibrant, visible communities in urban centers, they also were at high risk of anti-gay violence. Butch lesbians (the only lesbians who have ever been particularly visible) did also experience more overt homophobic violence.
In some ways, the lack of lesbian visibility caused its own problems, and was its own form of persecution. Lesbians, particularly feminine lesbians, were often not considered really lesbians or were viewed as "fixable." You could make the argument that a failure to fully acknowledge lesbian sexuality was a form of persecution.
One other thing to keep in mind when we look at gay and lesbian persecution is the influence of AIDS. Although initially lesbians were occasionally vaguely lumped in with gay men as a source of contagion, it was primarily gay men who bore the brunt of AIDSphobia. When you added a deadly and poorly understood virus to existing homophobia, it strengthened that homophobia and the "othering" of gay men and gay male sexual practices.
So this ended up being a little more rambling and disconnected than I intended, but I hoped I provided some context for how we understand the differences in gay and lesbian experiences of homophobia. In the end, I don't think it's realistic or fair to say that one group had it better or worse than another.