However, many women see no difference, and some even prefer to talk to a male. You may want to say it's difficult to talk about with a man. Your therapist wants you to be able to discuss your difficulties, so he will probably be very supportive and will do whatever he can to make you as comfortable as possible while encouraging you to go ahead. Write him a note telling him your sexual issues. Perhaps after you've broken the ice that way, you will then be able to talk about it.
Some people can speak more openly on the phone.
You might ask for a phone appointment to start the discussion. These ideas are just to get you started. At some point it's best if you can talk to him directly. If you continue to have a difficult time talking about these matters, you may need to move on to someone else, perhaps a female therapist. I think I have very low self-esteem.