You can, but you may happen to have to wait a bit longer for a same-sex screener; and it also may mean that other passengers have to wait behind you in line longer as a result of opting out and/or wanting a same-sex screener.

At CPH, women seem to end up more frequently selected for pat-downs than men when it comes to the primary screening checkpoint. And so while it's frequently the case that each WTMD fed by two x-ray luggage scanning belt lines is assigned one male and one female pat-down artist, it's a daily routine for a substantial minority of patted-down passengers at CPH to be rubbed down by a screener of a different sex than the patted-down passenger; and if they insist on a same-sex pat-down, it may mean waiting a bit more than someone who doesn't care.