If you are indeed gay, that's perfectly normal, but from what I've read it's also perfectly normal for people who don't typically experience same-sex attraction to feel erotic transference towards a therapist of the same sex in the therapy room.
The boundaries of therapy create this kind of "play" space where our inner emotional self can make the therapist take on many roles in the drama that is played out in therapy...parent, lover, friend, enemy...sometimes one role after another, sometimes more than one at the same time in a big confusing mix. This is all completely normal and actually seems to be part of how therapy works.
I really hope you can talk about this with your therapist. Some therapists get a bit freaked out if a client expresses romantic feelings, but experienced therapists know this happens all the time and they should be able to help you talk about it. If you haven't felt attracted to anyone before, then the fact that you'd be attracted to your therapist could be revealing--what is it that makes this possible for you? It might point you to what you need to look for out in the "real world" or what might be stopping feelings from happening in the "real world."
Yes talking about all this stuff can be super hard but it really can be productive, especially since this touches on issues that seem important for you and that presumably you want to work on in therapy. You could just throw it out there, "Hey, I'm experiencing some feelings about you I want to talk about. This is excruciating for me but I want to talk to you so you can help me sort this stuff out and figure out what it reveals about me." And then take a big risk.

Risking being vulnerable....huge part of therapy.