While convincing by today's standards, it is probably impossible to nail down exactly where Alexander was on any contemporary standard.
Greek and Macedonian (and most Mediterranean) men of the day, of all proclivities, often had sexual relations with boys and men but may not be considered "gay" today. Most people were, more or less, pansexual and would have sex with anyone who was breathing, regardless of age or gender.
You forget two common reasons for man on man activity back then: 1. Polygamy (rich men hoggin all the women) and 2. The lack of birth control.