My understanding of the classical concept of sex was that yes, sex was specifically the penetrative act, so it's entirely possible Zeus and Bros couldn't fathom what mischief women could get to on their own.

Artemis could totally go to Funkytown with her huntress desciples all she wanted without affecting her virtue, or brother Apollo feeling jealous. (That whole affair with Orion was, according to OSP, a Victorian era fantasy, with no prior primary sources.)