I personally think Sai is gay.
Not in the "OMG LET'S GO SHOPPING AND LOOK A HOT GUYS" way. He is a severely emotionally retarded individual, so I don't think he is homosexual in the conventional "gay" way.
Because he is emotionally stinted, I think he would be more comfortable in social situation with what he is familiar with. Since he is male, he probably is more comfortable with other males in said social situations. Social situations can be thing from parties to simple outings, and include sex. Since sex usually involved a multitude of emotions, Sai, as I said earlier, would probably be more comfortable with what he is used too, namely males.
...wow. That was rather insightful of me. Time to go back to reading gay porn and guro before I turn into a psychologist. :c