Definitely not, I'm a girl and I think about sex a lot of the time! There's so much shame around girls liking sex, masturbating, or just thinking about it. I think that shame is ********, like women have sex and enjoy it people need to get over that.
It's totally cool to fantasise, like if I'm bored on a bus journey or something that's literally all I do lol. It would only be a problem if that fantasising was really affecting you productivity or making you depressed and stuff like that. If that's the case then counselling will help (they won't judge you), but if its not the case then you're good!