No don't bring it up with him. He's not a therapist, doesn't have the training to deal with it and it's not part of his job or obligation to work through it with you. There's a good chance he'd refer you to another physician. I cannot see any good that would come of telling him.

Also re: Melania's suggestion that you go for it because there are no laws forbidding it, um, yes there are in most jurisdictions (in North America anyway). If not laws, then professional codes of conduct. So while he probably wouldn't go to jail for having a sexual relationship with a patient he could lose his license and/or pay a hefty fine.

If it's really an issue, get a therapist and talk to them about it.