This isn't a book recommendation, OP, but more of a practical comment.
You say that when your daughter says she can't be a girl, you tell her that girls can like football instead of dolls or what have you, i.e. she doesn't have to conform to stereotypes.
That's an important part of the conversation, for sure, but have you actually spelled out what a girl is, and what a boy is?
It's not clear to me from your OP whether you also have a son or just daughters, so perhaps your daughters have never had a bath with a little boy.
As someone who grew up in the 80s with a little brother, I was never confused about what girls and boys are. My mum told me that my brother was a boy because he had a willy and I was a girl because I didn't have one.
Perhaps if your girls haven't grown up sharing baths with a brother or the occasional male cousin, they find it more difficult to conceptualise this, particularly in the current climate where it seems primary schools are doing everything they can to avoid explaining biological sex in clear terms and some are encouraging small children to believe that they get to choose whether they want to be a boy or a girl.
If this is the case, then in addition to all the wonderful books recommended in this thread to show your girls they can do whatever they like and don't have to be limited by their sex, I would be looking out for an age appropriate book with clear illustrations to help them understand what boys and girls actually look like underneath their clothes.
And beyond books, even if your girls aren't girly girls and don't particularly like playing with dolls, it might be useful to buy a couple of anatomically correct dolls, one with female genitalia and one with male genitalia, and just play with them a couple of times so you can explain that this one is a girl and this one is a boy, and the girl baby has the same body parts your daughters have, whereas the boy baby has different body parts. I would also use anatomically correct language to talk about this. Don't infantilise your daughters. Tell them that boys and men have a penis and girls and women have a vulva and a vagina, and inside the body a uterus which is where a baby can grow. And once you've had that conversation, if one of your daughters talks about being a boy, you can say something like, "It's OK to like the same things that the boys at school like. If you want to play football, that's fine, we'll find a football club for you. But the boys are boys because they have a penis, not because they like football. Remember the book?"