If the thoughts constantly bother you, then I'd say to see a sex therapist, however, as humans, we are each unique. Some people like masochism, sadism, animals, dead things, the list goes on and some just like a man/woman's body as is.

The way I see it, there's a large gap between thoughts or fantasies and actual physical action. It's normal for people to fantasize about something that's sexually appealing to them. As for why you're attracted to transgenders, well, that's one question in an enormous question; why are people sexually attracted to certain things? I can give you a neurological or physiological reason, however, it's probably not going to satisfy your quench for the knowledge.