Some of them did. In Medieval Spain, the prime example would be queen Isabel the Catholic, who was an avid hunter and a great rider.
She was raised in different places, but the one she spent more time in was Arévalo, in the beautiful castle you can see nowadays if you drive on the A-6. The village of Arévalo is close to the central system, the mountain range that divides the North and South plateaus of central Spain, which is very rich in game such as deers and wild boars.
Hunting was also part of the education of noblemen and royalty, and that included both men and women. Juan de Lucena, an educational theorist of that time, on a treatise Crianza y virtuosa doctrina, which he dedicated to the queen herself, recommends to read, write, play instruments, sing, dance, swim, fight, swordplay, bow, crossbow, to latinate, to speak, chess and ball to play well. Women would be less expected to be able to hunt or go to war, but they still had to know the basics of hunting, war, jousts, and games. Isabel was very interested in all of these, as acccredited by the inventory of her library, which contained several books on hunting, hawkery, chivalry, and chess.
The hunting she learned while in Arévalo, and later when raised in the royal court, was one of her great hobbies that she kept practicing when she was queen, something mentioned by chroniclers such as Alonso de Palencia and Andrés Bernáldez priest of Los Palacios.