Here's why:
* "Amigo" is the general word for friend in Spanish, and it's gender neutral.
* The phrase uses "este", meaning "this" and "mi", meaning "my." These are also gender neutral.
To be specific about the gender of your friend, you would need to use the appropriate gendered article before "amigo":
* "Esta es mi amiga" (This is my female friend)
* "Este es mi amigo" (This is my male friend)
So, "Este es mi amigo" could be either a male or female friend, and you would need more context to know for sure.