There's not exactly an admission, more like a playful, slightly flirty joke that he might be gay. I think he's mocking the impression that gay roles=gay actor, which I rather quite like. Contrast that with the guys trance name drops- I don't believe Tom Cruise or John Travolta have done gay roles, but that hasn't quelled any (unsubstantiated) rumor-mongering.
I'd hazard a guess that James is a guy who experimented earnestly, doesn't regret it, but mostly is into chicks.