No they don't. They may mutilate their bodies, but they are not "changing their gender".
Really, humans don’t even have gender. Go check a dictionary from before 1960 or so for the word “gender”, and there are only 2 usages, one is the grammatical concept, and the other usage is exactly the same as “biological sex”. This notion that humans have a “gender” separate from their sex is a recent academic flight of fancy.