Is it better to filter a resultset using a WHERE clause or using application code?

OK, here is a simple abstraction of the problem:

2 variables(male_users and female_users) to store 2 groups of user i.e. male and female

1. 1 way is to use two queries to select them :

select * from users where gender = 'male' and then store the result in male_users

select * from users where gender = 'female' and then store the result in female_users

2. another way is to run only one query:

'select * from users' and then loop over the result set to filter the male users in the program php code snippet would be sth like this:

$result = mysql_query('select * from users');

while (($row=mysql_fetch_assoc(result)) != null) {
  if ($row['gender'] == 'male'){// add to male_users}
  else if ($row['gender'] == 'female'){// add to female_users}
}

which one is more efficient and considered as a better approach?

this is just a simple illustration of the problem. the real project may have lager tables to query and more filter options.

thanks in advance!