I think it's very important to be honest about it with your therapist. I've never felt grossed out in that situation before. It's natural and not uncommon at all. Pay attention to how your therapist reacts though. Flirty/encouraging isn't good. An effective therapist will address it openly and try to see what you guys can learn from it to make therapy more effective. You or the therapist may decide it interferes too much with therapy and another therapist would be a better fit. If they have those feelings for you, they need to refer you out. A therapist can find a client attractive and be aware of that but developing a relationship beyond therapy or pretending the attraction is not there is asking for trouble.