Do you remember the circumstances in which you were told this, because it sounds more than a bit ridiculous. I know of zero all-female cults to Diana or Luna. All-female cults are in fact extremely rare in general in Roman religious practice, the only one I can think of is the cult of the Bona Dea, and that's not really an all-female cult at all, since the Bona Dea had a public festival as well.

The goddess Luna is pretty minor in Roman ritual practice. She appears occasionally in private practice, but she's definitively not an all-female goddess. Luna's importance in cult practice was largely as an agricultural deity or as a sort of celestial counterpart to Hecate in magical practice. She really didn't have any large cults or rituals, and though she had a temple on the Aventine and another on the Palatine her cult really wasn't of very much importance.

In Roman practice, like in Greek, the moon was frequently associated with Diana, but it's hard to believe that you're referring to the cult of Diana. Diana was largely a women's goddess, but while her cult was widespread she really didn't have any mystery cults or rituals. Diana doesn't seem to have had very many large rituals, and her cult centers were often in secluded locations where pretty much only the priesthood actually participated in rites. I can only think of a single public ritual of Diana, the procession of women carrying torches from the city to Nemi. Propertius tells us that this was not to Diana as a moon goddess, but to Diana in her guise as Trivia, the goddess of the crossroads, and by extension of chastity. A couple of sanctuaries admitted only women, in particular the Dianium, but there is no mention of any actual rituals occurring there--probably these are like the cult center at Nemi, where there were most of what happened was just the deposition of votive offerings. The major cult centers of Diana within Italy, particularly at the grove at Nemi, were largely not exclusive to women--at Nemi, of course, the infamous Rex Nemorensis was a man.

No, you're not thinking of a particular cult of either Diana or Luna. But unless your source was just talking out of his ass (which is entirely possible, given some of the "knowledge" of Roman cult practice) it's possible that you're receiving a garbled and very sensationalized version of some other rite that's mentioned in our texts. The particular rites you're describing are fantasy of the stuff that's frequently mentioned in our texts whenever women get together without the supervision of men--in the Roman imagination in particular a bunch of women in one place without supervision could only mean wild, drunken, sex parties. No actual Roman cult ever had rites even remotely resembling this sort of thing. You may be getting a garbled version of the plot of the Bacchae, particularly the climactic point at which the ecstatic revelry of the Maenads is described and Pentheus is ripped to pieces by the revelers. But I don't think that's what's being transmitted to you, except in that the Bacchic ecstasy rites took place outdoors under the moon and that the Maenads were often said to tear animals apart with their bare hands, as they do to Pentheus. More likely what I think you're getting is a sensationalized and not very accurate description of the Bona Dea's rites, which are incorrectly being described as a moon cult (the Bona Dea was no such thing). Specifically Juvenal's account. Juvenal describes the Bona Dea's December rites, the only ritual of the Bona Dea in which men were forbidden, as being a wild sex party of foul debauchery. But Juvenal thinks that everything is a wild sex party of foul debauchery and the vast majority of the things he says on any subject are pretty unreliable due to his constant editorialization. I mean, the man openly declares that he despises all Greeks, and have you read any of the horribly sexist, even by Roman standards, and misogynistic things he has to say about women? Juvenal describes the women at the Bona Dea (whom he calls the Priapi maenades...wow...just wow...) as engaging in drunken revelry, with respectable matrons getting trashed and challenging prostitutes to striptease competitions, and getting turned on by each other's lewd dancing. He describes the women as suddenly opening the sanctuary and letting in men, some of them dressed up as women, at the height of their lust, or even, if there aren't enough men, as having sex with animals to satiate their lusts. Literally none of this should not be taken seriously, it's the sort of invective that Juvenal in particular is prone to. In point of fact the rites of the Bona Dea appear to have been extremely austere, though the lack of men and the presence of wine (there was a ritual toast of some kind, in which the wine was called milk) and of blood sacrifice without male supervision lent itself easily to the Roman man's overactive imagination.

Or your source is just talking out of his ass and totally made the whole thing up. Which is also a possibility. But in any case, there's no such cult that I know of, this sounds like the sort of standard invective against female rites that you find pretty frequently in classical literature