People tend to gravitate towards the interests of groups they identify with, consciously or unconsciously. In a society where dance is seen as 'feminine', people who identify, consciously or unconsciously, with a female identity are more likely to gravitate towards it.

This doesn't mean that men can't enjoy dance, and it doesn't mean that joining a dance class means you have to hand in your man card. It doesn't even mean that dance is inherently feminine instead of dance being feminine being a modern social construct. It's just a common kind of anecdote from trans folk - an attraction to hobbies, styles, or groups associated with their gender identity rather than their AGAB even before transitioning.