Et skjegg? A female word? And I thought only the French could come up with 'la moustache' :p
Adding to what others have written, it's best not to associate grammatical gender too closely with natural gender. It will often lead you astray! Any correlation is arbitrary at best. After all, a belt or a bridge can be feminine in one language and one language and masculine in another, even one closely related! It's best to think of grammatical gender as just some set of arbitrary classes a word might belong to.
Interesting that with an adjective in front of it, skjegg gains the indefinite article. Is there a reason for the difference?