You know, if you're in severe pain you might dream of the doctor giving you a pill and telling you it'll take the pain away - and it will. In reality you won't want that pill because you know it won't help.

Get my analogy?

It's very much possible that you weren't just fantasizing the presence of the woman, you were also fantasizing liking it. I don't like touch much, yet if I'm feeling very lonely I might fantasize something giving me a hug and making me feel better.. in real life I don't want that hug because it won't make me feel better. Yet the fantasy can actually give me some comfort. *shrugs* weird stuff, but it makes sense I think. I think you were fantasizing about that good feeling/that feeling of attraction (or aiming to fantasize about that), and the celebs were mostly a medium to achieve that feeling in your fantasy.
People imagine living on the moon and liking it. They wouldn't like if they actually lived on the moon.. and probably wouldn't move there if offered the chance, either. You imagined attraction and/or a sexual relationship. You wouldn't necessarily like it in real life.
A lot of people dream of a beach holiday and sunbathing for a month, oh how relaxing it would be and how relaxed they would be. They'd go stir crazy in a week. Others dream of an active holiday and all the things they would see and learn and how interesting it would be. They'd be bored out of their minds in a week.

I think when imagining something, you're not just imagining the rest of the world in that situation, but also yourself in a situation where you like it. You weren't just imagining Britney Spears in your bedroom - it's very likely you were also imagining yourself as a sexual person.

Which I, as a fellow asexual, totally understand. I'm kind of interested in sex - well, not in the act (it sounds really creepy and somewhat disgusting to me), but in how a sexual relationship works - because I totally don't get it and why people would want it. I don't understand it, so I'm interested in it from an almost academic perspective. Being sexual for a moment sounds interesting, even if it's only in my imagination. Just as being a pirate for a day might have sounded interesting at some point in my life. All those kids who role-play being a pirate or a knight, they don't actually want to be a pirate or a knight. They don't secretly feel they are a pirate or a knight. They just like to imagine that their pencil is a sword and their rug a ship. You imagined you were responding a certain way. It's not weird and it doesn't really mean anything.

If you're asexual, you're asexual. If you are unsure enough that you have difficulty stating "I am", just follow my lead and say "I identify as".