It practically writes itself. Golf clubs were stuffy, male, and allergic to women for most of their history, so of course the word is an acronym: Gentlemen Only, Ladies Forbidden. It gets repeated in clubhouses, forwarded in emails, and dropped at dinner as a little nugget about how sexist the old game was. The sexism is real. The acronym is the part that feels too perfect.
The word is far too old for the story. Golf turns up in Scottish records in the 15th century, when James II of Scotland banned it in 1457 for distracting his archers from practice. Acronyms as a way of making words barely existed before the 20th century. The term comes from a Middle Dutch or older Scots word, 'colf' or 'gowf', meaning a club or the act of striking. Same family as the modern game's stick. The 'Gentlemen Only' line is a 20th-century joke that hardened into a fact because it flatters our sense of how backward the past was. The past was plenty backward. It just did not name its sports with acronyms five hundred years early.